The Effect of Innovation Similarity on Asset Prices: Evidence from Patents’ Big Data

IF 2.2 Q2 BUSINESS, FINANCE

Review of Asset Pricing Studies Pub Date : 2022-08-05 DOI:10.1093/rapstu/raac014

Ron Bekkerman, Eliezer M Fich, Natalya Khimich

引用次数: 0

Abstract

Through textual analyses of 7.7 million patents, we develop a novel intercompany innovation similarity measure which enables us to find that technologically connected firms cross-predict one another’s returns. Investors impound information about firms’ technological connectedness, although not immediately and fully. Buying (shorting) shares of technological peers earning high (low) returns during the previous month yields a 1.29% monthly return. Firms’ return predictability increases with patent complexity or limited technological disclosures but decreases with better information transparency. Results suggest that investor inattention explains technology momentum. Unlike momentum stemming from simpler, class-based technological links, our Big Data text-based return predictability remains active.

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创新相似性对资产价格的影响:来自专利大数据的证据

通过对770万项专利的文本分析，我们开发了一种新的公司间创新相似性度量，使我们能够发现技术关联的公司相互交叉预测收益。投资者掌握了有关公司技术联系的信息，尽管不是立即和全面的。买进(做空)前一个月获得高(低)回报的科技同行的股票，月回报率为1.29%。企业回报可预测性随着专利复杂性或有限的技术披露而增加，但随着信息透明度的提高而降低。结果表明，投资者的不关注解释了技术势头。与简单的、基于类的技术链接所产生的动力不同，基于大数据文本的回报可预测性仍然很活跃。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Review of Asset Pricing Studies BUSINESS, FINANCE-

CiteScore

19.80

自引率

0.80%

发文量

期刊介绍： The Review of Asset Pricing Studies (RAPS) is a journal that aims to publish high-quality research in asset pricing. It evaluates papers based on their original contribution to the understanding of asset pricing. The topics covered in RAPS include theoretical and empirical models of asset prices and returns, empirical methodology, macro-finance, financial institutions and asset prices, information and liquidity in asset markets, behavioral investment studies, asset market structure and microstructure, risk analysis, hedge funds, mutual funds, alternative investments, and other related topics. Manuscripts submitted to RAPS must be exclusive to the journal and should not have been previously published. Starting in 2020, RAPS will publish three issues per year, owing to an increasing number of high-quality submissions. The journal is indexed in EconLit, Emerging Sources Citation IndexTM, RePEc (Research Papers in Economics), and Scopus.