Abstract

http://ssrn.com/abstract=2150742
 
 

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

June 9, 2015


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 a small group of leading firms’ activities, 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: 45

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: June 10, 2015

Suggested Citation

Jiang, Yi and Qian, Yiming and Yao, Tong, R&D Spillover and Predictable Returns (June 9, 2015). 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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