Capital Investment, Innovative Capacity, and Stock Returns

• 成果类型: Article
• 署名作者: Kumar, Praveen; Li, Dongmei
• 署名单位: University of Houston System; University of Houston; University of South Carolina System; University of South Carolina Columbia
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12419
• 发表日期: 2016
• 页码: 2059-2094
• 关键词: research-and-development; asset price dynamics; corporate-investment; cross-section; empirical-evidence; GROWTH OPTIONS; RISK; profitability; PRODUCTIVITY; determinants

摘要

We study the dynamic implications of capital investment in innovative capacity (IC) on future stock returns, investment, and profitability bymodeling the unique effects of IC investment on uncertain option generation/exercise and postexercise revenue. The model highlights the diverse effects of IC investment on expected returns in different postinvestment regimes and yields the novel prediction that, under the neoclassical assumption of nonincreasing revenue returns, IC investment is positively related to subsequent cumulative stock returns with a lag. The model also predicts a positive effect of IC investment on future investment and profitability. We find strong empirical support for these predictions.