Innovation and idiosyncratic risk: An industry and firm level analysis

Arbeitspapier

Recent studies find that idiosyncratic risk (IR) has increased since the 1960's and attribute this to economy wide factors such as the role of the IT revolution. To gain further insights into why IR has increased over time, our paper uses industry level data and firm level data to study if industries considered very innovative and R&D intensive firms are characterized by higher IR due to how innovation activity affects the uncertainty of expected future profits. While the industry level results prove inconclusive, the firm level results are encouraging: a clear relationship is found between a firm's R&D intensity and the volatility of its returns.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Open Discussion Papers in Economics ; No. 50

Classification and Topics

• Classification: Wirtschaft ; Asset Pricing; Trading Volume; Bond Interest Rates ; Innovation; Research and Development; Technological Change; Intellectual Property Rights: General
• Subject: Idiosyncratic Risk ; Volatility ; Technological Change ; Industry Life Cycle

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Mazzucato, Mariana ; Tancioni, Massimiliano
• Event: Veröffentlichung
• (who): The Open University, Economics Department
• (where): Milton Keynes
• (when): 2005

Further information

• Handle: http://hdl.handle.net/10419/65696
• Last update: 10.03.2025, 11:43 AM CET