Advanced Search
MyIDEAS: Login to save this paper or follow this series

Stock Price Volatility and Patent Citation Dynamics: the case of the pharmaceutical industry

Contents:

Author Info

  • Mariana Mazzucato

    (Department of Economics, Faculty of Social Sciences, The Open University)

  • Massimiliano Tancioni

Abstract

Recent finance literature highlights the role of technological change in increasing firm specific and aggregate stock price volatility (Campbell et al. 2001, Shiller 2000, Pastor and Veronesi 2006). Yet innovation data is not used in these analyses, leaving the direct relationship between innovation and volatility untested. Our aim is to investigate more closely the relationship between stock price volatility and innovation using firm level patent citation data. The analysis builds on the empirical work by Mazzucato (2002; 2003) where it is found that stock price volatility is highest during periods in the industry life-cycle when innovation (measured at the industry level) is the most 'competencedestroying'. Here we ask whether firms which invest more in innovation (more R&D and more patents) and/or which have 'more important' innovations (patents with more citations) experience more volatility. We focus the analysis on firms in the pharmaceutical and biotechnology industries between 1974 and 1999. Results suggest that there is a positive and significant relationship between idiosyncratic risk, R&D intensity and the various patent related measures. Preliminary support is also found for the 'rational bubble' hypothesis linking both the level and volatility of stock prices to innovation.

Download Info

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Bibliographic Info

Paper provided by The Open University, Faculty of Social Sciences, Department of Economics in its series Open Discussion Papers in Economics with number 55.

as in new window
Length: 39 pages
Date of creation: Dec 2006
Date of revision: Sep 2007
Handle: RePEc:opn:wpaper:55

Contact details of provider:
Postal: Walton Hall, Milton Keynes, MK7 6AA
Phone: +44-(0)1908-654437
Fax: +44-(0)1908-654488
Email:
Web page: http://www.open.ac.uk/socialsciences/about-the-faculty/departments/economics/research/discussion-papers.php
More information through EDIRC

Related research

Keywords: Idiosyncratic Risk; Volatility; Technological Change; Industry Life-Cycle;

Find related papers by JEL classification:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:opn:wpaper:55. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (IT team member).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.