The Information in Discretionary Outlays: Advertising, Research, and Development.
研究广告和研发支出的预测误差与股票异常回报的关系，发现市场认为广告收益短期、研发收益长期。
Abstract ABSTRACT: Recent studies have considered the association between abnormal stock returns and forecast errors of various components of earnings. For discretionary outlays such as advertising or research and development (R&D), the sign and magnitude of the association between forecast errors and abnormal returns can provide information concerning the expected duration of benefits arising from these activities. This empirical study compares market reaction to advertising and R&D forecast errors with market reaction to forecast errors for conventional expenses, and with a theoretical benchmark for long-lived assets. The results are mixed, but on balance the evidence is consistent with a market assessment that advertising is short-lived while R&D is long-lived.