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Innovation and idiosyncratic risk: an industry- and firm-level analysis

Mazzucato, Mariana and Tancioni, Massimiliano (2008). Innovation and idiosyncratic risk: an industry- and firm-level analysis. Industrial and Corporate Change, 17(4)

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URL: http://icc.oxfordjournals.org/cgi/content/abstract...
DOI (Digital Object Identifier) Link: http://dx.doi.org/10.1093/icc/dtn024
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Abstract

Recent studies find that idiosyncratic risk (IR)�the degree to which firm-specific returns are more volatile than aggregate market returns–has increased since the 1960s and attribute this to economy-wide factors such as the role of the IT revolution. Yet no innovation data is used in these studies. To gain further insights into the relationship between technology and IR, our aricle studies whether firms and industries that are more R&D intensive are in fact characterized by higher IR due to how innovation affects the uncertainty of expected future profits. While the industry-level results prove inconclusive, a clear relationship is found between firm-level R&D intensity and firm-level volatility of returns.

Item Type: Journal Article
ISSN: 1464-3650
Keywords: Idiosyncratic Risk; Volatility; Technological Change; Industry Life Cycle;
Academic Unit/Department: Social Sciences > Economics
Item ID: 11027
Depositing User: Users 9 not found.
Date Deposited: 15 Jul 2008 00:13
Last Modified: 20 Jan 2011 19:17
URI: http://oro.open.ac.uk/id/eprint/11027
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