Misvaluing Innovation

• 成果类型: Article
• 署名作者: Cohen, Lauren; Diether, Karl; Malloy, Christopher
• 署名单位: Harvard University; National Bureau of Economic Research; Dartmouth College
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhs183
• 发表日期: 2013
• 页码: 635
• 关键词: research-and-development; market value; INVESTMENT; returns; performance; persistence; decisions; valuation; patents; RISK

摘要

We demonstrate that a firm's ability to innovate is predictable, persistent, and relatively simple to compute, and yet the stock market appears to ignore the implications of past successes when valuing future innovation. We show that two firms that invest the same in R&D can have quite divergent, but predictably divergent, future paths based on their past track records. A long-short portfolio strategy that takes advantage of the information in past track records earns abnormal returns of roughly 11% annually. Importantly, these past track records also predict divergent future real outcomes in patents, patent citations, and new product innovations.