Investimentos operacionais em P&D como estratégia para desempenho diferenciado

Abstract

In the 1970s, a discussion began regarding the accounting treatment of R&D investments in the US. Considering the supposed lack of a causal relationship between R&D and future economic benefits, the accounting standards at the time stipulated that such investments should be recorded directly in the companies' income statement as operating expenses. Subsequent studies proved the association between R&D and economic benefits. However, a new debate regarding the generation of abnormal returns has emerged. Since the 1990s, American companies have been investing more in intangible capital than in physical assets. One explanation for this fact may lie in the ability to generate differentiated returns from this type of investment. In order to explain the wave of investment in intangible capital that has taken over the US, this research aimed to analyze whether operational investment strategies focused on R&D contribute to the generation of differentiated returns compared to strategies focused on Capex. The initial sample of the study was composed of common stocks of US companies listed on Nyse, Amex, and Nasdaq between July 1991 and June 2018. Based on Fama and French’s 3, 5, and 6-factor models, the generation of differentiated returns was measured through abnormal returns of portfolios sorted, conveniently, to segregate stocks by size, representing micro, small, and big stocks, and by R&D or Capex levels, representing stocks of companies with low (conservative), neutral and high (aggressive) investments of these types. In the research results, it was observed that, although there is a significant relationship between Capex levels and increased returns for microcap stocks, this relationship was not reflected in abnormal returns. For portfolios sorted on R&D, in addition to a significant relationship between R&D levels and increased returns for all size segregations, this relationship was reflected in positive abnormal returns for micro and small stocks, regardless of the pricing model used. It was also observed that the generation of abnormal returns by microcap stocks with high investments in R&D does not depend on the level of investments in Capex. In general, the results made it clear that operational investments in R&D play a fundamental role, mainly for growing companies, which benefited from higher than expected returns, being notably extraordinary and differentiated returns. Another research result concerns the pricing models used. The addition of the momentum factor to the 5-factor model did not improve the model's overall ability to explain the patterns of returns in any of the sets of portfolios tested. The 5-factor model contributed little to the bivariate portfolios sorted on R&D levels, presenting better results with the bivariate portfolios sorted on Capex levels. As for trivariate portfolios, only the 3-factor model performed satisfactorily.