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R&D, knowledge spillovers and stock volatility
Authors:Michael K Fung
Institution:School of Accounting and Finance, Hong Kong Polytechnic University, Kowloon, Hong Kong
Abstract:Firms improve their know‐how not only by innovations (producing new knowledge), but also by knowledge spillovers (learning from others). The objective of this study is to test for two major hypotheses developed from a theoretical model explaining the relationship between R&D, knowledge spillovers and stock volatility. Analytically, the model suggests that asymmetric information caused by R&D activities with uncertain future output increases stock volatility, even though dividends and consumptions remain unchanged. However, interfirm knowledge spillovers have a negative impact on stock volatility by reducing the degree of asymmetric information. Both hypotheses are supported by empirical evidence from this study.
Keywords:Stock volatility  R&D  Knowledge spillover
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