Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/65696
Authors: 
Mazzucato, Mariana
Tancioni, Massimiliano
Year of Publication: 
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

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