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Article: Corporate R&D and Stock Returns: International Evidence

TitleCorporate R&D and Stock Returns: International Evidence
Authors
Issue Date2021
PublisherCambridge University Press. The Journal's web site is located at http://journals.cambridge.org/action/displayJournal?jid=jfq
Citation
Journal of Financial and Quantitative Analysis, 2021, Epub 2021-04-08 How to Cite?
AbstractFirms with higher R&D intensity subsequently experience higher stock returns in international stock markets, highlighting the role of intangible investments in international asset pricing. The R&D effect is stronger in countries where growth option risk is more likely priced, but is unrelated to country characteristics representing market sentiments and limits-of-arbitrage. Moreover, we find that R&D intensity is associated with higher future operating performance, return volatility, and default likelihood. Our evidence suggests that the cross-sectional relation between R&D intensity and stock returns is more likely attributable to risk premium than to mispricing.
Persistent Identifierhttp://hdl.handle.net/10722/299079
ISSN
2020 Impact Factor: 3.745
2020 SCImago Journal Rankings: 4.657
ISI Accession Number ID

 

DC FieldValueLanguage
dc.contributor.authorHou, K-
dc.contributor.authorHsu, PH-
dc.contributor.authorWang, S-
dc.contributor.authorWatanabe, A-
dc.contributor.authorXu, Y-
dc.date.accessioned2021-04-28T02:25:54Z-
dc.date.available2021-04-28T02:25:54Z-
dc.date.issued2021-
dc.identifier.citationJournal of Financial and Quantitative Analysis, 2021, Epub 2021-04-08-
dc.identifier.issn0022-1090-
dc.identifier.urihttp://hdl.handle.net/10722/299079-
dc.description.abstractFirms with higher R&D intensity subsequently experience higher stock returns in international stock markets, highlighting the role of intangible investments in international asset pricing. The R&D effect is stronger in countries where growth option risk is more likely priced, but is unrelated to country characteristics representing market sentiments and limits-of-arbitrage. Moreover, we find that R&D intensity is associated with higher future operating performance, return volatility, and default likelihood. Our evidence suggests that the cross-sectional relation between R&D intensity and stock returns is more likely attributable to risk premium than to mispricing.-
dc.languageeng-
dc.publisherCambridge University Press. The Journal's web site is located at http://journals.cambridge.org/action/displayJournal?jid=jfq-
dc.relation.ispartofJournal of Financial and Quantitative Analysis-
dc.rightsJournal of Financial and Quantitative Analysis. Copyright © Cambridge University Press.-
dc.rightsThis article has been published in a revised form in [Journal] [http://doi.org/XXX]. This version is free to view and download for private research and study only. Not for re-distribution, re-sale or use in derivative works. © copyright holder.-
dc.titleCorporate R&D and Stock Returns: International Evidence-
dc.typeArticle-
dc.identifier.emailXu, Y: yanxuj@hku.hk-
dc.identifier.authorityXu, Y=rp01799-
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1017/S002210902100020X-
dc.identifier.scopuseid_2-s2.0-85103967579-
dc.identifier.hkuros322256-
dc.identifier.volumeEpub 2021-04-08-
dc.identifier.isiWOS:000753667900001-
dc.publisher.placeUnited Kingdom-

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