REVIEW OF FINANCE · VOL.20, ISSUE. 5 · OCTOBER 2016

R&D溢出效应与预测收益

作者：Yi Jiang (California State University), Yiming Qian (University of Iowa), Tong Yao (University of Iowa)

摘要：我们研究发现企业的研发活动（R&D）可以预测其同业公司的股票收益。当一个行业经历了由一小部分公司的研发活动所带来的大量研发增长时，尽管一些同业公司没有研发增长，它们依然会有正的异常收益和异常的经营业绩。外部行业对需求或生产力的冲击不能解释这些结果。此外，异常收益往往集中在很少受到投资者关注的同业公司。

R&D Spillover and Predictable Returns

Yi Jiang (California State University), Yiming Qian (University of Iowa), Tong Yao (University of Iowa)

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 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.

原文链接：https://academic.oup.com/rof/article-abstract/20/5/1769/1752975/R-amp-D-Spillover-and-Predictable-Returns?redirectedFrom=fulltext

翻译：陈然