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Article: Innovative efficiency and stock returns
Title | Innovative efficiency and stock returns |
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Authors | |
Keywords | Innovative Efficiency Limited Attention Market Efficiency Research And Development |
Issue Date | 2013 |
Publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jfec |
Citation | Journal Of Financial Economics, 2013, v. 107 n. 3, p. 632-654 How to Cite? |
Abstract | 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. © 2012 Elsevier B.V. All rights reserved. |
Persistent Identifier | http://hdl.handle.net/10722/177807 |
ISSN | 2023 Impact Factor: 10.4 2023 SCImago Journal Rankings: 13.655 |
SSRN | |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Hirshleifer, D | en_US |
dc.contributor.author | Hsu, PH | en_US |
dc.contributor.author | Li, D | en_US |
dc.date.accessioned | 2012-12-19T09:39:58Z | - |
dc.date.available | 2012-12-19T09:39:58Z | - |
dc.date.issued | 2013 | en_US |
dc.identifier.citation | Journal Of Financial Economics, 2013, v. 107 n. 3, p. 632-654 | en_US |
dc.identifier.issn | 0304-405X | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/177807 | - |
dc.description.abstract | 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. © 2012 Elsevier B.V. All rights reserved. | en_US |
dc.language | eng | en_US |
dc.publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jfec | en_US |
dc.relation.ispartof | Journal of Financial Economics | en_US |
dc.rights | This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License. | - |
dc.rights | NOTICE: this is the author’s version of a work that was accepted for publication in <Journal Of Financial Economics>. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in PUBLICATION, [VOL 107, ISSUE 3, (2013)] DOI 10.1016/j.jfineco.2012.09.011 | - |
dc.subject | Innovative Efficiency | en_US |
dc.subject | Limited Attention | en_US |
dc.subject | Market Efficiency | en_US |
dc.subject | Research And Development | en_US |
dc.title | Innovative efficiency and stock returns | en_US |
dc.type | Article | en_US |
dc.identifier.email | Hsu, PH: paulhsu@hku.hk | en_US |
dc.identifier.authority | Hsu, PH=rp01553 | en_US |
dc.description.nature | postprint | en_US |
dc.identifier.doi | 10.1016/j.jfineco.2012.09.011 | en_US |
dc.identifier.scopus | eid_2-s2.0-84875511544 | en_US |
dc.identifier.hkuros | 220039 | - |
dc.identifier.hkuros | 238571 | - |
dc.identifier.isi | WOS:000316523800006 | - |
dc.publisher.place | Netherlands | en_US |
dc.identifier.ssrn | 1799675 | - |
dc.identifier.scopusauthorid | Hirshleifer, D=6602877412 | en_US |
dc.identifier.scopusauthorid | Hsu, PH=8974031100 | en_US |
dc.identifier.scopusauthorid | Li, D=36504322100 | en_US |
dc.identifier.citeulike | 11625204 | - |
dc.identifier.issnl | 0304-405X | - |