流动性不足,研发投资和股票收益

IF 1.2 3区 经济学 Q3 BUSINESS, FINANCE
SHAMIM AHMED, ZIWEN BU, XIAOXIA YE
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引用次数: 1

摘要

摘要本文建立了一个研发风险的动态模型,该模型预测企业研发投资与预期股票收益之间的正相关关系随着流动性的不足而增强。与模型的预测一致,基于横截面回归和双重分类投资组合的经验证据在很大程度上表明,非流动性股票之间存在更强的正R& d;收益关系。进一步分析表明,非流动性在r&d - D-return关系中的重要作用不能用资金约束、创新能力和产品市场竞争等因素来解释。总体而言,我们的研究结果表明,股票流动性不足是研发溢价的独立驱动因素。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Illiquidity, R&D Investment, and Stock Returns
Abstract We propose a dynamic model of research and development (R&D) venture, which predicts that the positive relation between the firm's R&D investment and the expected stock returns strengthens with illiquidity. Consistent with the model's prediction, empirical evidence based on cross‐sectional regressions and double‐sorted portfolios largely suggests a stronger and positive R&D–return relation among illiquid stocks. A further analysis shows that the important role of illiquidity in the R&D–return relation cannot be explained by factors, such as financial constraints, innovation ability, and product market competition. Collectively, our results suggest that stock illiquidity is an independent driver of the R&D premium.
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来源期刊
CiteScore
2.90
自引率
6.70%
发文量
98
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