Prior research has reported that research and development (R&D) expenditures have a significant positive relationship not only with current stock returns but also with future stock returns. If information about future economic benefits to be generated through R&D expenditures were fully reflected in the stock price during the period when the expenditures were incurred, there would be no significant relationship with future stock returns. Therefore, the finding that R&D expenditures show a significant positive relationship with future stock returns implies that the asset value of R&D expenditures is not sufficiently reflected in stock prices during the period of expenditure. This can be considered an exception to the semi-strong form efficient market hypothesis, which holds that publicly disclosed information is immediately and fully reflected in stock prices. Prior studies in the United States have argued that the conservative accounting treatment requiring R&D expenditures to be expensed gives rise to the significant positive relationship between R&D expenditures and future stock returns, and therefore R&D expenditures should be capitalized. Meanwhile, Korean accounting standards permit the capitalization of R&D expenditures. Accordingly, this study examines whether capitalizing R&D expenditures eliminates the significant positive relationship with future stock returns. Furthermore, for the asset value of R&D expenditures to be fully reflected in stock prices during the period of expenditure, market efficiency—whereby relevant information is reflected in stock prices without distortion and in a timely manner—is a prerequisite. Therefore, this study also examines whether the relationship between R&D expenditures and future stock returns differs depending on market efficiency. The empirical results show that, in the full sample analysis, not only expensed R&D but also capitalized R&D exhibits a significant positive relationship with future stock returns. This implies that even when R&D expenditures are capitalized, the future economic benefits of R&D are not fully reflected in stock prices during the period of expenditure. However, when examined by market, in the case of the KOSPI market, the significant positive relationship between capitalized R&D and future stock returns disappears. In contrast, in the relatively less efficient KOSDAQ market, a significant positive relationship between capitalized R&D and future stock returns persists. Expensed R&D has a significant positive relationship with future stock returns in both markets. These results indicate that for the asset value of R&D expenditures to be fully reflected in stock prices during the period of expenditure, both the capitalization of R&D expenditures and high market efficiency of the stock market where shares are traded are necessary. Additionally, the higher the foreign investor ownership ratio, the more the positive relationship between expensed R&D and future stock returns diminishes in both the KOSPI and KOSDAQ markets. This suggests that foreign investors, who possess superior capabilities in analyzing and utilizing information compared to general investors, contribute to enhancing market information efficiency, thereby helping the asset value of expensed R&D expenditures to be better reflected in stock prices during the period of expenditure.