Does Innovation Explain the Skewness of Stock Returns?-Reference-Cited by-同舟云学术

Does Innovation Explain the Skewness of Stock Returns?

Published:2021-11 Issue:2 Volume:24 Page:12-31
ISSN:0743-2348
Container-title:American Business Review
language:
Short-container-title:ABR

Author:

Baig Ahmed¹,Butt Hassan Anjum²,Fitwi Abrar³,Smith Joey⁴

Affiliation:

1. Boise State University, Idaho, U.S.

2. Missouri Southern State University, Missouri, U.S.

3. Saint Mary's College, Notre Dame, Indiana, U.S.

4. College of William & Mary, Virginia, U.S.

Abstract

This paper investigates the impact of firm-level innovation on the skewness of stock returns. Using data on a broad sample of equities from the major US stock exchanges, we find that innovative companies exhibit strong positive skewness. Our results are robust to both input and output measures of innovation as we find that increases in both firm-level research and development expenditure (R&D), as well as the number of patents, are positively associated with future stock return skewness. Our results hold using both systematic and idiosyncratic measures of skewness while controlling for various stock characteristics, time, and industry-fixed effects.

Publisher

University of New Haven - College of Business

Subject

Marketing,Organizational Behavior and Human Resource Management,Strategy and Management,Business, Management and Accounting (miscellaneous)

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