JFQ volume 57 issue 5 Cover and Front matter
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JFQ volume 57 issue 4 Cover and Back matter
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JFQ volume 57 issue 3 Cover and Back matter
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JFQ volume 57 issue 3 Cover and Front matter
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JFQ volume 57 issue 2 Cover and Front matter
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JFQ volume 57 issue 2 Cover and Back matter
JFQ volume 57 issue 1 Cover and Back matter
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JFQ volume 57 issue 1 Cover and Front matter
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RQ Innovative Efficiency and Firm Value
We introduce and test a firm-level innovation-efficiency measure new to the finance literature. The measure, termed the research quotient (RQ), defined as the firm-specific output elasticity of research and development (R&D), was first developed in the management literature. RQ has a low correlation with existing innovation input, output, and efficiency measures. We test RQ in a number of innovation tests common to the finance literature and find that RQ is robust in all tests of firm value, even after controlling for previous innovation measures. The results suggest that RQ may serve as a relevant complementary measure of a company’s innovation.
Asset Price Dynamics with Limited Attention
We identify long-lived pricing errors through a model in which inattentive investors arrive stochastically to trade. The model’s parameters are structurally estimated using daily NYSE market-maker inventories, retail order flows, and prices. The estimated model fits empirical variances, autocorrelations, and cross-autocorrelations among our three data series from daily to monthly frequencies. Pricing errors for the typical NYSE stock have a standard deviation of 3.2 percentage points and a half-life of 6.2 weeks. These pricing errors account for 9.4%, 7.0%, and 4.5% of the respective daily, monthly, and quarterly idiosyncratic return variances.