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Innovation and market value: a quantile regression analysis

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Author Info
Alex Coad () (CES-MATISSE, Univ. Paris 1 and LEM, Sant'Anna School, Pisa)
Rekha Rao () (LEM, Sant'Anna School, Pisa)

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Abstract

We construct a new database by matching firm-level Compustat data to NBER patent data, for four 2-digit complex technology sectors. Whilst conventional regression estimators show that the stock market does recognise efforts at innovation, quantile regression analysis adds a new dimension to the literature, suggesting that the influence of innovation on market value varies dramatically across the market value distribution. For firms with a low value of Tobin's q, the stock market will barely recognize their attempts to innovate. For firms with the highest values of Tobin's q, however, their market value is particularly sensitive to innovative activity.

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File URL: http://economicsbulletin.vanderbilt.edu/2006/volume15/EB-06O10012A.pdf
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Publisher Info
Article provided by Economics Bulletin in its journal Economics Bulletin.

Volume (Year): 15 (2006)
Issue (Month): 13 ()
Pages: 1-10
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:ebl:ecbull:v:15:y:2006:i:13:p:1-10

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Related research
Keywords: Innovation; Market Value; Quantile Regression; Tobin's q;

Find related papers by JEL classification:
O1 - Economic Development, Technological Change, and Growth - - Economic Development
L2 - Industrial Organization - - Firm Objectives, Organization, and Behavior

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Alex Coad, 2006. "A Closer Look at Serial Growth Rate Correlation," LEM Papers Series 2006/29, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
    Other versions:
  2. Alex Coad & Rekha Rao, 2006. "Innovation and firm growth in "complex technology" sectors : a quantile regression approach," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00118797_v1, HAL. [Downloadable!]
    Other versions:
  3. Bronwyn H. Hall & Adam Jaffe & Manuel Trajtenberg, 2005. "Market Value and Patent Citations," RAND Journal of Economics, The RAND Corporation, vol. 36(1), pages 16-38, Spring.
  4. Hall, Bronwyn H. & Oriani, Raffaele, 2006. "Does the market value R&D investment by European firms? Evidence from a panel of manufacturing firms in France, Germany, and Italy," International Journal of Industrial Organization, Elsevier, vol. 24(5), pages 971-993, September. [Downloadable!] (restricted)
    Other versions:
  5. Mahmut Yasar & Carl H. Nelson & Roderick Rejesus, 2006. "Productivity and Exporting Status of Manufacturing Firms: Evidence from Quantile Regressions," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 142(4), pages 675-694, December. [Downloadable!] (restricted)
    Other versions:
  6. Griliches, Zvi, 1990. "Patent Statistics as Economic Indicators: A Survey," Journal of Economic Literature, American Economic Association, vol. 28(4), pages 1661-1707, December. [Downloadable!] (restricted)
    Other versions:
  7. Griliches, Zvi, 1981. "Market value, R&D, and patents," Economics Letters, Elsevier, vol. 7(2), pages 183-187. [Downloadable!] (restricted)
    Other versions:
  8. Cockburn, Iain & Griliches, Zvi, 1988. "Industry Effects and Appropriability Measures in the Stock Market's Valuation of R&D and Patents," American Economic Review, American Economic Association, vol. 78(2), pages 419-23, May. [Downloadable!] (restricted)
    Other versions:
  9. Louis K. C. Chan, 2001. "The Stock Market Valuation of Research and Development Expenditures," Journal of Finance, American Finance Association, vol. 56(6), pages 2431-2456, December. [Downloadable!] (restricted)
  10. Jaffe, Adam B, 1986. "Technological Opportunity and Spillovers of R&D: Evidence from Firms' Patents, Profits, and Market Value," American Economic Review, American Economic Association, vol. 76(5), pages 984-1001, December. [Downloadable!] (restricted)
    Other versions:
  11. Mata, Jose & Machado, Jose A. F., 1996. "Firm start-up size: A conditional quantile approach," European Economic Review, Elsevier, vol. 40(6), pages 1305-1323, June. [Downloadable!] (restricted)
  12. Bronwyn H. Hall & Adam B. Jaffe & Manuel Trajtenberg, 2001. "The NBER Patent Citation Data File: Lessons, Insights and Methodological Tools," NBER Working Papers 8498, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  13. Wesley M. Cohen & Richard R. Nelson & John P. Walsh, 2000. "Protecting Their Intellectual Assets: Appropriability Conditions and Why U.S. Manufacturing Firms Patent (or Not)," NBER Working Papers 7552, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  14. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January. [Downloadable!] (restricted)
  15. Nicholas Bloom & John Van Reenen, 2002. "Patents, Real Options and Firm Performance," Economic Journal, Royal Economic Society, vol. 112(478), pages C97-C116, March. [Downloadable!] (restricted)
  16. repec:fth:harver:1473 is not listed on IDEAS
  17. Bronwyn H. Hall and Adam Jaffe, and Manuel Trajtenberg., 2001. "Market Value and Patent Citations: A First Look," Economics Working Papers E01-304, University of California at Berkeley.
    Other versions:
  18. Dr. Peter Kenning & Hilke Plassmann, 2004. "NeuroEconomics," Experimental 0412005, EconWPA. [Downloadable!]
  19. Pakes, Ariel, 1985. "On Patents, R&D, and the Stock Market Rate of Return," Journal of Political Economy, University of Chicago Press, vol. 93(2), pages 390-409, April. [Downloadable!] (restricted)
  20. Roger Koenker & Kevin F. Hallock, 2001. "Quantile Regression," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 143-156, Fall. [Downloadable!] (restricted)
  21. Dosi, Giovanni, 1988. "Sources, Procedures, and Microeconomic Effects of Innovation," Journal of Economic Literature, American Economic Association, vol. 26(3), pages 1120-71, September. [Downloadable!] (restricted)
  22. Joao Pedro Azevedo, 2004. "GRQREG: Stata module to graph the coefficients of a quantile regression," Statistical Software Components S437001, Boston College Department of Economics, revised 01 Jan 2006. [Downloadable!]
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. A. Coad & R. Rao, 2007. "The Employment Effects of Innovations in High-Tech Industries," Papers on Economics and Evolution 2007-05, Max Planck Institute of Economics, Evolutionary Economics Group. [Downloadable!]
  2. Faïz Gallouj & Paul Windrum, 2009. "Services and services innovation," Journal of Evolutionary Economics, Springer, vol. 19(2), pages 141-148, April. [Downloadable!] (restricted)
  3. Alex Coad, 2008. "Distance to Frontier and Appropriate Business Strategy," LEM Papers Series 2008/13, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
    Other versions:
  4. Antonelli Cristiano & Colombelli Alessandra, 2009. "The Generation and Exploitation of Technological Change: Market Value and Total Factor Productivity," Dipartimento di Economia "S. Cognetti de Martiis" LEI & BRICK - Laboratorio di economia dell'innovazione "Franco Momigliano", Bureau of Research in Innovation, Complexity and Knowledge, Collegio Carlo 200912, University of Turin. [Downloadable!]
  5. Alexander Coad & Rekha Rao, 2007. "Firm Growth and R&D Expenditure," Papers on Economics and Evolution 2007-10, Max Planck Institute of Economics, Evolutionary Economics Group.
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