Financial Constraints, R&D Investment, and Stock Returns

• 成果类型: Article
• 署名作者: Li, Dongmei
• 署名单位: University of California System; University of California San Diego
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhr043
• 发表日期: 2011
• 页码: 2974
• 关键词: ASSET PRICING IMPLICATIONS; corporate-investment; business cycles; capital-market; cash flow; DYNAMICS; FIRMS; imperfections; valuation; BEHAVIOR

摘要

Through the interaction between financial constraints and R&D, I study two asset-pricing puzzles: mixed evidence on the financial constraints-return relation and the positive R&D-return relation. Unlike capital investment, R&D is more inflexible. A financially constrained R&D-intensive firm is more likely to suspend/discontinue R&D projects. Therefore, R&D-intensive firms' risk increases with their financial constraints. Conversely, constrained firms' risk increases with their R&D intensity. I find a robust empirical relation between financial constraints and stock returns, primarily among R&D-intensive firms. Moreover, R&D predicts returns only among financially constrained firms. This evidence suggests that financial constraints potentially drive the positive R&D-return relation. (JEL G12, G32, O32)