Citations (1)



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

August 1, 2015

Review of Finance, Forthcoming

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.

Number of Pages in PDF File: 44

Keywords: R&D spillover, limited attention, stock return predictability

JEL Classification: O3, G1, G02

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Date posted: September 23, 2012 ; Last revised: October 2, 2015

Suggested Citation

Jiang, Yi and Qian, Yiming and Yao, Tong, R&D Spillover and Predictable Returns (August 1, 2015). Review of Finance, Forthcoming. 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
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