R&D Spillover and Predictable Returns*

被引：19

作者：

Jiang, Yi ^{[1
]}

Qian, Yiming ^{[2
]}

Yao, Tong ^{[2
]}

机构：

[1] Calif State Univ Long Beach, Long Beach, CA 90840 USA

[2] Univ Iowa, Iowa City, IA 52242 USA

来源：

REVIEW OF FINANCE | 2016年 / 20卷 / 05期

关键词：

O3; G1; G02; DEVELOPMENT INVESTMENT; CROSS-SECTION; STOCK; VALUATION; ATTENTION; INVESTORS; FIRMS; RISK;

D O I：

10.1093/rof/rfv050

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We show that firms' R&D activities can predict the stock returns of their industry peers. When an industry experiences substantial R&D growth driven by the activities of a small group of firms, industry peers experience positive abnormal returns and abnormal operating performance despite having no aggressive R&D growth. Exogenous industry shocks to demand or productivity do not explain these results. Further, abnormal returns are concentrated in peer firms that receive low investor attention.

引用

页码：1769 / 1797

页数：29

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