Limits-to-arbitrage, investment frictions, and innovation anomalies

被引：3
|
作者：
Chan, Konan
Lin, Yueh-Hsiang [1 ]
Wang, Yanzhi
机构：
[1] Natl Taipei Univ Business, Coll Business, Dept Finance, 321,Sec 1,Jinan Rd, Taipei 10051, Taiwan
来源：
PACIFIC-BASIN FINANCE JOURNAL | 2017年 / 43卷
关键词：
R&D premium; Limits-to-arbitrage; Investment frictions; RESEARCH-AND-DEVELOPMENT; STOCK RETURNS; FINANCIAL CONSTRAINTS; CROSS-SECTION; IDIOSYNCRATIC RISK; TRANSACTION COSTS; ASSET GROWTH; SMALL FIRMS; CASH FLOW; EARNINGS;
D O I：
10.1016/j.pacfin.2017.01.001
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper examines whether the limits-to-arbitrage and investment frictions hypotheses explain the research and development (R&D) premium. We find that the R&D premium is stronger for stocks that are hard to arbitrage and for stocks with investment frictions. The limits-to-arbitrage explanation explains more of the R&D premium than does the investment frictions explanation. Our results hold under the two-way sorts on limits-to-arbitrage and investment frictions measures. We also examine the impact of limits-to-arbitrage and investment frictions on innovation efficiency and R&D ability. We find that the limits-to-arbitrage and investment frictions are equally effective in explaining the two new innovation anomalies. (C) 2017 Elsevier B.V. All rights reserved.
引用
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页码：1 / 14
页数：14
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