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Innovation and idiosyncratic risk: an industry- and firm-level analysis

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  • Mariana Mazzucato
  • Massimiliano Tancioni

Abstract

Recent studies find that idiosyncratic risk (IR)—the degree to which firm-specific returns are more volatile than aggregate market returns—has increased since the 1960s and attribute this to economy-wide factors such as the role of the IT revolution. Yet no innovation data is used in these studies. To gain further insights into the relationship between technology and IR, our aricle studies whether firms and industries that are more R&D intensive are in fact characterized by higher IR due to how innovation affects the uncertainty of expected future profits. While the industry-level results prove inconclusive, a clear relationship is found between firm-level R&D intensity and firm-level volatility of returns. Copyright 2008 , Oxford University Press.

Suggested Citation

  • Mariana Mazzucato & Massimiliano Tancioni, 2008. "Innovation and idiosyncratic risk: an industry- and firm-level analysis," Industrial and Corporate Change, Oxford University Press, vol. 17(4), pages 779-811, August.
  • Handle: RePEc:oup:indcch:v:17:y:2008:i:4:p:779-811
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    File URL: http://hdl.handle.net/10.1093/icc/dtn024
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    Citations

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    Cited by:

    1. Gharbi, Sami & Sahut, Jean-Michel & Teulon, Frédéric, 2014. "R&D investments and high-tech firms' stock return volatility," Technological Forecasting and Social Change, Elsevier, vol. 88(C), pages 306-312.
    2. Gianpaolo Abatecola & Fiorenza Belussi & Dermot Breslin & Igor Filatotchev, 2016. "Darwinism, organizational evolution and survival: key challenges for future research," Journal of Management & Governance, Springer;Accademia Italiana di Economia Aziendale (AIDEA), vol. 20(1), pages 1-17, March.
    3. Roper, Stephen & Tapinos, Efstathios, 2016. "Taking risks in the face of uncertainty: An exploratory analysis of green innovation," Technological Forecasting and Social Change, Elsevier, vol. 112(C), pages 357-363.
    4. V.K. Gupta, 2016. "Strategic framework for managing forces of continuity and change in innovation and risk management in service sector: a study of service industry in India," International Journal of Services and Operations Management, Inderscience Enterprises Ltd, vol. 23(1), pages 1-17.
    5. Giovanni Dosi & Jean-Luc Gaffard & Lionel Nesta, 2008. "Schumpeterian themes on industrial evolution, structural change and their microfoundations: an introduction," Industrial and Corporate Change, Oxford University Press, vol. 17(4), pages 601-609, August.
    6. Valerie Revest & Alessandro Sapio, 2016. "The creation function of a junior listing venue: An empirical test on the Alternative Investment Market," LEM Papers Series 2016/32, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.

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