The objectives of this research were two studies: 1) to study the relationship between the disclosure of innovations on research and development and the stock return of listed companies on the Stock Exchange of Thailand; and 2) to compare the differences in the relationship between the disclosure of innovations on research and development and the stock return in each industry. This study collects data from annual reports of the selected 564 companies from the first quarter of 2017 to the fourth quarter of 2020, totalling 16 quarters. The entire sample group is 9,024 quarter companies. This research uses descriptive analyses and multiple regression to analyse.
The findings of the study on the relationship between the disclosure of innovations on research and development and the stock return revealed that research and development disclosures were significantly related to stock return in the periods of six months or more. The disclosure of innovations on research were positively correlated with a stock return, while the disclosure of innovations on development were negatively correlated with stock return.
In terms of comparing the differences in the relationship between the disclosure of innovations on research and development and the stock return in each industry, found that in financial business industry, industrial products industry, service industry and resource industry, the disclosure of innovations on research did not affect the stock returns. But in real estate and construction industry, consumer goods industry, agriculture and food industry and technology industry, the disclosure of innovations on research will affect the stock returns. Real estate and construction industry, agriculture and food industry and consumer goods industry, the disclosure of innovations on research are positively correlated with stock returns. But technology industry, the disclosure of innovations on research has a negative correlation with stock returns.
The disclosure of innovations on development found that in real estate and construction industry and service industry, the disclosure of innovations on development did not affect the stock returns. But in the financial business industry, consumer goods industry, industrial products industry, agriculture and food industry, technology industry and resource industry, the disclosure of innovations on research will affect the stock returns. Financial business industry, agriculture and food industry, technology industry and consumer goods industry, the disclosure of innovations on development have a negative correlation with stock returns. But The Industrial products industry found that the disclosure of innovations on development was negatively correlated with the stock returns on short-term holding periods and it has a positive correlation with the stock returns on long-term holding periods. On the other hand, the resource industry, the disclosure of innovations on development has a positive correlation with the stock returns on short-term holding periods and it has a negative correlation with the stock returns on long-term holding periods.