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R&D Investments and Idiosyncratic Volatility

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  • Hamim, Md. Tanvir

Abstract

This paper investigates how R&D investment intensity can infuse information asymmetry about the growth prospects and the idiosyncratic volatility of non-financial firms. Panel Data Method has been employed in order to regress idiosyncratic volatility on R&D investments. Using a sample of research-intensive FTSE-100 and S&P-100 firms having the highest market capitalization between 2008 and 2017, the study finds the evidence of a positive association in between R&D investment intensity and idiosyncratic component of total stock return volatility. The study provides the insight that R&D-led firms should leverage on their R&D related sensitive information to reduce the level of idiosyncratic volatility.

Suggested Citation

  • Hamim, Md. Tanvir, 2020. "R&D Investments and Idiosyncratic Volatility," MPRA Paper 101330, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:101330
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    File URL: https://mpra.ub.uni-muenchen.de/101330/1/MPRA_paper_101330.pdf
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    References listed on IDEAS

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    More about this item

    Keywords

    R&D; Idiosyncratic Volatility; Firm Size; Information Asymmetry;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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