Research & Development And Volatility Of Equity Returns In The French Market
AbstractThis paper examines the link between research and development (R&D) and idiosyncratic volatility for a panel of large French quoted companies. We investigate whether the intensity of R&D investment makes the firm’s stocks riskier. We suggest that R&D activities generate information asymmetry and uncertainty about the firm’s future cash flows and make its idiosyncratic volatility higher. Our results show that R&D investment intensity should be considered as a determinant of the idiosyncratic volatility and that R&D increases the riskiness of the firm.
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Bibliographic InfoPaper provided by Department of Research, Ipag Business School in its series Working Papers with number 2014-120.
Length: 23 pages
Date of creation: 25 Feb 2014
Date of revision:
R&D; volatility; asymmetric information; risk; CAPM.;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2014-03-08 (All new papers)
- NEP-INO-2014-03-08 (Innovation)
- NEP-TID-2014-03-08 (Technology & Industrial Dynamics)
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