Chen, Sheng‐Syan
[Verfasser:in]
;
Chen, Yan-Shing
[Sonstige Person, Familie und Körperschaft];
Liang, Woan-lih
[Sonstige Person, Familie und Körperschaft];
Wang, Yanzhi
[Sonstige Person, Familie und Körperschaft]
Public R&D Spending and Cross-Sectional Stock Returns
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 23, 2016 erstellt
Beschreibung:
We examine how cross-sectional stock returns are influenced by research and development (R&D) spending funded by the public sector, which accounts for a substantial portion of total U.S. investments in innovation. Firms located in states with more public R&D spending earn higher abnormal stock returns. A long-short portfolio constructed by public R&D spending earns a monthly abnormal return of about 0.9%. The results persist after accounting for conventional pricing factors and state-level variables. We also find that better productivity improvements, higher R&D spillovers and greater cash flow risk explain why public R&D spending positively affects stock returns