Innovative efficiency and stock returns

• 成果类型: Article
• 署名作者: Hirshleifer, David; Hsu, Po-Hsuan; Li, Dongmei
• 署名单位: University of California System; University of California Irvine; University of Hong Kong; University of Hong Kong; University of California System; University of California San Diego
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2012.09.011
• 发表日期: 2013
• 页码: 632-654
• 关键词: Innovative efficiency; limited attention; research and development; market efficiency

摘要

We find that innovative efficiency (IE), patents or citations scaled by research and development expenditures, is a strong positive predictor of future returns after controlling for firm characteristics and risk. The IE-return relation is associated with the loading on a mispricing factor, and the high Sharpe ratio of the Efficient Minus Inefficient (EMI) portfolio suggests that mispricing plays an important role. Further tests based upon attention and uncertainty proxies suggest that limited attention contributes to the effect. The high weight of the EMI portfolio return in the tangency portfolio suggests that IE captures incremental pricing effects relative to well-known factors. (C) 2012 Elsevier B.V. All rights reserved.