TY - JOUR
T1 - Does innovation explain the skewness of stock returns?
AU - Baig, Ahmed S.
AU - Butt, Hassan
AU - Fitwi, Abrar
AU - Smith, Joey
N1 - Publisher Copyright:
© The Authors 2021, CC BY-NC
PY - 2021/11
Y1 - 2021/11
N2 - 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.
AB - 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.
KW - Innovation
KW - Patents
KW - R&D
KW - Skewness
UR - http://www.scopus.com/inward/record.url?scp=85120406958&partnerID=8YFLogxK
U2 - 10.37625/ABR.24.2.12-31
DO - 10.37625/ABR.24.2.12-31
M3 - Article
AN - SCOPUS:85120406958
VL - 24
SP - 12
EP - 31
JO - American Business Review
JF - American Business Review
IS - 2
ER -