Journal of Financial and Quantitative Analysis Vol. 57 No. 4 2022
Corporate R&D and Stock Returns: International Evidence
Abstract
Firms with higher R&D intensity subsequently experience higher stock returns in international stock markets, highlighting the role of intangible investments in international asset pricing. The R&D effect is stronger in countries where growth option risk is more likely priced, but is unrelated to country characteristics representing market sentiments and limits-of-arbitrage. Moreover, we find that R&D intensity is associated with higher future operating performance, return volatility, and default likelihood. Our evidence suggests that the cross sectional relation between R&D intensity and stock returns is more likely attributable to risk premium than to mispricing.
- DOI
- 10.1017/s002210902100020x
- Volume
- 57
- Issue
- 4
- Pages
- 1377-1408
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref