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Open Discussion Papers in Economics, The Open University >
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http://hdl.handle.net/10419/65696
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| Title: | | Innovation and idiosyncratic risk: An industry and firm level analysis  |
| Authors: | | Mazzucato, Mariana Tancioni, Massimiliano |
| Issue Date: | | 2005 |
| Series/Report no.: | | Open Discussion Papers in Economics, The Open University 50 |
| Abstract: | | 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. |
| Subjects: | | Idiosyncratic Risk Volatility Technological Change Industry Life Cycle |
| JEL: | | G12 O30 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Open Discussion Papers in Economics, The Open University
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