Innovative Efficiency and Stock Returns

@inproceedings{Hirshleifer2013InnovativeEA,
  title={Innovative Efficiency and Stock Returns},
  author={David Hirshleifer and Po-Hsuan Hsu and Dongmei Ph. D. Li},
  year={2013}
}
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… CONTINUE READING
BETA

Citations

Publications citing this paper.
SHOWING 1-10 OF 70 CITATIONS

Technological Competition and Strategic Alliances *

VIEW 5 EXCERPTS
CITES METHODS
HIGHLY INFLUENCED

Innovation Search Strategy and Predictable Returns

Tristan Fitzgerald, Benjamin Balsmeier, Lee Fleming, Gustavo Manso
  • 2018
VIEW 22 EXCERPTS
HIGHLY INFLUENCED

Technological Links and Predictable Returns

VIEW 4 EXCERPTS
CITES BACKGROUND & METHODS
HIGHLY INFLUENCED

Competing with Superstars

  • Management Science
  • 2016
VIEW 4 EXCERPTS
CITES BACKGROUND, METHODS & RESULTS
HIGHLY INFLUENCED

FILTER CITATIONS BY YEAR

2011
2019

CITATION STATISTICS

  • 13 Highly Influenced Citations

  • Averaged 11 Citations per year over the last 3 years

References

Publications referenced by this paper.
SHOWING 1-10 OF 76 REFERENCES

Does information dissemination mitigate bubbles? The role of analyst coverage in China, working paper, University of Miami

Andrade, C Sandro, Jiangze Bian, Timothy R. Burch
  • 2010

Faurel, 2010, Post loss/profit announcement drift

Balakrishnan, Karthik, Eli Bartov, Lucile
  • Journal of Accounting and Economics
  • 2010

Financial constraints, R&D investment, and stock returns, working paper, University of California at San Diego

Li, Dongmei
  • 2010

Similar Papers

Loading similar papers…