Abstract

http://ssrn.com/abstract=2150742
 


 



R&D Spillover and Predictable Returns


Yi Jiang


California State University, Fullerton

Yiming Qian


University of Iowa - Department of Finance

Tong Yao


University of Iowa - Henry B. Tippie College of Business

July 19, 2014


Abstract:     
We show that a firm’s stock return is predictable by R&D activities of other firms in the industry, and that such predictability is related to investor inattention to cross-firm information. We identify a small group of industry “R&D Leaders” that have a burst of R&D activities and a large group of “Peers” that are in the same industry but do not have substantial R&D increases. We find that Peers experience significantly positive abnormal returns and abnormal operating performance in subsequent years. Such results are not explained away by exogenous industry shocks to demand or productivity. Further, abnormal returns to Peers are concentrated in those having low investor attention.

Number of Pages in PDF File: 48

Keywords: limited attention, R&D, spillover, externality, predictable returns

JEL Classification: O3, G1, G02

working papers series


Download This Paper

Date posted: September 23, 2012 ; Last revised: July 20, 2014

Suggested Citation

Jiang, Yi and Qian, Yiming and Yao, Tong, R&D Spillover and Predictable Returns (July 19, 2014). Available at SSRN: http://ssrn.com/abstract=2150742 or http://dx.doi.org/10.2139/ssrn.2150742

Contact Information

Yi Jiang (Contact Author)
California State University, Fullerton ( email )
P.O. Box 6848
Fullerton, CA CA 92834-6848
United States
657-278-4363 (Phone)
657-278-2161 (Fax)
HOME PAGE: http://business.fullerton.edu/finance/yjiang/
Yiming Qian
University of Iowa - Department of Finance ( email )
S382 Pappajohn Building
Iowa City, IA 52242
United States
319-335-0934 (Phone)
319-335-3690 (Fax)
Tong Yao
University of Iowa - Henry B. Tippie College of Business ( email )
108 Pappajohn Business Building
Iowa City, IA 52242-1000
United States
Feedback to SSRN


Paper statistics
Abstract Views: 804
Downloads: 137
Download Rank: 122,208
Paper comments
No comments have been made on this paper

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo3 in 0.484 seconds