This study examines stock market reactions to New Zealand's 2018 Taxation (Research and Development Tax Credits) Bill, exploiting its key legislative milestones as quasi-natural experiments to identify the causal effects of R&D incentive policies on firm value. Surprisingly, I find that stock market returns of R&D firms were significantly negative when the bill and its amendment were introduced to the Parliament for the first time. The results remain strong in a bunch of robustness tests. I discuss and investigate a few possible explanations to the findings. The study provides new evidence on whether government support for R&D consistently translates to increased firm valuation.