R&D Spillover and Predictable Returns

Yi Jiang; Yiming Qian; Tong Yao

doi:10.1093/rof/rfv050

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Journal article

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R&D Spillover and Predictable Returns

Yi Jiang, Yiming Qian and Tong Yao

REVIEW OF FINANCE, Vol.20(5), pp.1769-1797

08/01/2016

DOI: 10.1093/rof/rfv050

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Abstract

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.

Business & Economics

Business, Finance

Economics

Social Sciences

Details

Title: Subtitle: R&D Spillover and Predictable Returns
Creators: Yi Jiang - California State University System
Yiming Qian - University of Iowa
Tong Yao - University of Iowa
Resource Type: Journal article
Publication Details: REVIEW OF FINANCE, Vol.20(5), pp.1769-1797
DOI: 10.1093/rof/rfv050
ISSN: 1572-3097
eISSN: 1573-692X
Publisher: Oxford Univ Press
Number of pages: 29
Language: English
Date published: 08/01/2016
Academic Unit: Finance
Record Identifier: 9984380556802771

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