|
Based on your IP address, your paper is being delivered by:
|
 |
 |
 |
 |
 |
New York, USA
Processing request.
|
Illinois, USA
Processing request.
|
Brussels, Belgium
Processing request.
|
Seoul, Korea
Processing request.
|
California, USA
Processing request.
|
If you have any problems downloading this paper,
please click on another Download Location above, or
File name: SSRN-id2009138. ; Size: 350K
|
|
Innovative Efficiency and Stock Returns
David A. Hirshleifer
University of California, Irvine - Paul Merage School of Business
Po-Hsuan Hsu
University of Hong Kong
Dongmei Li
UC San Diego - Rady School of Management
February 22, 2012
AFA 2012 Chicago Meetings Paper
Abstract:
We find that innovative efficiency (IE), patents or citations scaled by R&D, is a strong positive predictor of future returns after controlling for firm characteristics and risk. The IE-return relation is associated with the loading on a mispricing factor, and the high Sharpe ratio of the Efficient Minus Inefficient (EMI) portfolio suggests that mispricing plays an important role. Further tests based upon attention and uncertainty proxies suggest that limited attention contributes to the effect. The high weight of the EMI portfolio return in the tangency portfolio suggests that IE captures incremental pricing effects relative to well-known factors.
Number of Pages in PDF File: 62
Keywords: innovative efficiency, limited attention
JEL Classification: G12, G14, O3
working papers series
Download This Paper
Date posted: April 4, 2011
; Last revised: February 22, 2012
Suggested CitationHirshleifer, David A., Hsu, Po-Hsuan and Li, Dongmei, Innovative Efficiency and Stock Returns (February 22, 2012). AFA 2012 Chicago Meetings Paper. Available at SSRN: http://ssrn.com/abstract=1799675 or http://dx.doi.org/10.2139/ssrn.1799675
|
| Feedback to SSRN (Beta) |
|
|
People who downloaded this paper also downloaded:
1.
The Short of It: Investor Sentiment and Anomalies
By
Robert Stambaugh,
Jianfeng Yu, ...
2.
The Stock Market Price of Commodity Risk
By
Martijn Boons,
Frans De Roon, ...
3.
Earnings Announcements and Systematic Risk
By
Pavel Savor
and
Mungo Ivor Wilson
4.
Asymmetric Attention and Stock Returns
By
Jordi Mondria
and
Thomas Wu
5.
Frog in the Pan: Continuous Information and Momentum
By
Zhi Da,
Umit Gurun, ...
6.
Size, Value, and Momentum in International Stock Returns
By
Eugene Fama
and
Kenneth French
7.
Word Power: A New Approach for Content Analysis
By
Narasimhan Jegadeesh
and
Andrew Wu
8.
Cross-Section of Option Returns and Idiosyncratic Stock Volatility
By
Jie Cao
and
Bing Han
9.
The Baltic Dry Index as a Predictor of Global Stock Returns, Commodity Returns, and Global Economic Activity
By
Gurdip Bakshi,
George Panayotov, ...
10.
Financial Intermediaries and the Cross-Section of Asset Returns
By
Tyler Muir,
Tobias Adrian, ...
|
|
|
|
