Does Innovation Explain the Skewness of Stock Returns?
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 in...
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Pompea College of Business
2021
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oai:doaj.org-article:68d46b711f2f44ffb095ee0c15388b782021-11-16T19:05:07ZDoes Innovation Explain the Skewness of Stock Returns?10.37625/abr.24.2.12-310743-23482689-8810https://doaj.org/article/68d46b711f2f44ffb095ee0c15388b782021-11-01T00:00:00Zhttps://digitalcommons.newhaven.edu/americanbusinessreview/vol24/iss2/2/https://doaj.org/toc/0743-2348https://doaj.org/toc/2689-8810This 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.Ahmed BaigHassan Anjum ButtAbrar FitwiJoey SmithPompea College of Businessarticler&dskewnessinnovationpatentsBusinessHF5001-6182ENAmerican Business Review, Vol 24, Iss 2, Pp 12-31 (2021) |
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DOAJ |
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DOAJ |
| language |
EN |
| topic |
r&d skewness innovation patents Business HF5001-6182 |
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r&d skewness innovation patents Business HF5001-6182 Ahmed Baig Hassan Anjum Butt Abrar Fitwi Joey Smith Does Innovation Explain the Skewness of Stock Returns? |
| description |
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. |
| format |
article |
| author |
Ahmed Baig Hassan Anjum Butt Abrar Fitwi Joey Smith |
| author_facet |
Ahmed Baig Hassan Anjum Butt Abrar Fitwi Joey Smith |
| author_sort |
Ahmed Baig |
| title |
Does Innovation Explain the Skewness of Stock Returns? |
| title_short |
Does Innovation Explain the Skewness of Stock Returns? |
| title_full |
Does Innovation Explain the Skewness of Stock Returns? |
| title_fullStr |
Does Innovation Explain the Skewness of Stock Returns? |
| title_full_unstemmed |
Does Innovation Explain the Skewness of Stock Returns? |
| title_sort |
does innovation explain the skewness of stock returns? |
| publisher |
Pompea College of Business |
| publishDate |
2021 |
| url |
https://doaj.org/article/68d46b711f2f44ffb095ee0c15388b78 |
| work_keys_str_mv |
AT ahmedbaig doesinnovationexplaintheskewnessofstockreturns AT hassananjumbutt doesinnovationexplaintheskewnessofstockreturns AT abrarfitwi doesinnovationexplaintheskewnessofstockreturns AT joeysmith doesinnovationexplaintheskewnessofstockreturns |
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1718426108160901120 |