IDEAS home Printed from https://ideas.repec.org/a/eee/pacfin/v12y2004i3p245-269.html
   My bibliography  Save this article

The explanatory power of R&D for the cross-section of stock returns: Japan 1985-2000

Author

Listed:
  • Xu, Ming
  • Zhang, Chu

Abstract

No abstract is available for this item.

Suggested Citation

  • Xu, Ming & Zhang, Chu, 2004. "The explanatory power of R&D for the cross-section of stock returns: Japan 1985-2000," Pacific-Basin Finance Journal, Elsevier, vol. 12(3), pages 245-269, June.
    • Handle: RePEc:eee:pacfin:v:12:y:2004:i:3:p:245-269
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0927-538X(03)00090-8
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Cockburn, Iain & Griliches, Zvi, 1988. "Industry Effects and Appropriability Measures in the Stock Market's Valuation of R&D and Patents," American Economic Review, American Economic Association, vol. 78(2), pages 419-423, May.
    2. Chan, Su Han & Martin, John D. & Kensinger, John W., 1990. "Corporate research and development expenditures and share value," Journal of Financial Economics, Elsevier, vol. 26(2), pages 255-276, August.
    3. Zvi Griliches, 1984. "Market Value, R&D, and Patents," NBER Chapters, in: R&D, Patents, and Productivity, pages 249-252, National Bureau of Economic Research, Inc.
    4. Jagannathan, Ravi & Kubota, Keiichi & Takehara, Hitoshi, 1998. "Relationship between Labor-Income Risk and Average Return: Empirical Evidence from the Japanese Stock Market," The Journal of Business, University of Chicago Press, vol. 71(3), pages 319-347, July.
    5. Gibbons, Michael R & Ross, Stephen A & Shanken, Jay, 1989. "A Test of the Efficiency of a Given Portfolio," Econometrica, Econometric Society, vol. 57(5), pages 1121-1152, September.
    6. Kent Daniel & Sheridan Titman & K.C. John Wei, 2001. "Explaining the Cross‐Section of Stock Returns in Japan: Factors or Characteristics?," Journal of Finance, American Finance Association, vol. 56(2), pages 743-766, April.
    7. Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 607-636, May-June.
    8. Lakonishok, Josef & Shleifer, Andrei & Vishny, Robert W, 1994. "Contrarian Investment, Extrapolation, and Risk," Journal of Finance, American Finance Association, vol. 49(5), pages 1541-1578, December.
    9. Pakes, Ariel, 1985. "On Patents, R&D, and the Stock Market Rate of Return," Journal of Political Economy, University of Chicago Press, vol. 93(2), pages 390-409, April.
    10. Fama, Eugene F & French, Kenneth R, 1992. "The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
    11. Chan, Louis K C & Hamao, Yasushi & Lakonishok, Josef, 1991. "Fundamentals and Stock Returns in Japan," Journal of Finance, American Finance Association, vol. 46(5), pages 1739-1764, December.
    12. David Aboody & Baruch Lev, 2000. "Information Asymmetry, R&D, and Insider Gains," Journal of Finance, American Finance Association, vol. 55(6), pages 2747-2766, December.
    13. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
    14. Louis K. C. Chan & Josef Lakonishok & Theodore Sougiannis, 2001. "The Stock Market Valuation of Research and Development Expenditures," Journal of Finance, American Finance Association, vol. 56(6), pages 2431-2456, December.
    15. Jonathan Berk & Richard C. Green & Vasant Naik, 1997. "Valuation and Return Dynamics of Research and Development Ventures," GSIA Working Papers 57, Carnegie Mellon University, Tepper School of Business.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Santosh Kumar Sahu & K. Narayanan, 2016. "Environmental Certification and Technical Efficiency: A Study of Manufacturing Firms in India," Journal of Industry, Competition and Trade, Springer, vol. 16(2), pages 191-207, June.
    2. duqi, andi & mirti, riccardo & torluccio, giuseppe, 2011. "An analysis of the R&D effect on stock returns for European listed firms," MPRA Paper 40012, University Library of Munich, Germany.
    3. Booth, G. Geoffrey & Junttila, Juha & Kallunki, Juha-Pekka & Rahiala, Markku & Sahlstrom, Petri, 2006. "How does the financial environment affect the stock market valuation of R&D spending?," Journal of Financial Intermediation, Elsevier, vol. 15(2), pages 197-214, April.
    4. Pascal Nguyen & Sophie Nivoix & Mikiharu Noma, 2010. "The valuation of R&D expenditures in Japan," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 50(4), pages 899-920, December.
    5. Oh-Suk Yang & Jae-Hoon Han, 2023. "Assessing the Effect of Corporate ESG Management on Corporate Financial & Market Performance and Export," Sustainability, MDPI, vol. 15(3), pages 1-30, January.
    6. Lu, Sean, 2020. "The explanatory power of R&D for the stock returns in the Chinese equity market," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).
    7. Kamarun Nisham Taufil Mohd & Rohaida Abdul Latif & Robiah Abu Bakar & Wan Nordin Wan Hussin & Ku Nor Izah Ku Ismail, 2006. "The Value-Relevance Of R&D Expenditure: Experience From Malaysia," IIUM Journal of Economics and Management, IIUM Journal of Economis and Management, vol. 14(2), pages 205-226, December.
    8. Galicia-Sanguino, Lucía & Rojo-Suárez, Javier & Alonso-Conde, Ana B. & López-Pérez, M. Victoria, 2021. "Trade integration and research and development investment as a proxy for idiosyncratic risk in the cross-section of stock returns," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
    9. Pramod Kumar Naik, 2014. "R&D Intensity and Market Valuation of Firm: A Study of R&D Incurring Manufacturing Firms in India," Journal of Studies in Dynamics and Change (JSDC), ISSN: 2348-7038, Voices of Inclusive Change and Expressions- (VOICE) Trust, Dehradun, Uttarakhand, vol. 1(7), pages 295-308., November.
    10. Byung S. Min & Russell Smyth, 2016. "How does leverage affect R&D intensity and how does R&D intensity impact on firm value in South Korea?," Applied Economics, Taylor & Francis Journals, vol. 48(58), pages 5667-5675, December.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Hung, Weifeng & Chiao, Chaoshin & Liao, Tung Liang & Huang, Sheng-Tang, 2012. "R&D, risks and overreaction in a market with the absence of the book-to-market effect," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 11-24.
    2. Paul P.J. Gao & Kevin X.D. Huang, 2008. "Aggregate Consumption-Wealth Ratio and the Cross-Section of Stock Returns: Some International Evidence," Annals of Economics and Finance, Society for AEF, vol. 9(1), pages 1-37, May.
    3. Amit Goyal, 2012. "Empirical cross-sectional asset pricing: a survey," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(1), pages 3-38, March.
    4. David Hirshleifer, 2001. "Investor Psychology and Asset Pricing," Journal of Finance, American Finance Association, vol. 56(4), pages 1533-1597, August.
    5. Beaulieu, Marie-Claude & Dufour, Jean-Marie & Khalaf, Lynda, 2010. "Asset-pricing anomalies and spanning: Multivariate and multifactor tests with heavy-tailed distributions," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 763-782, September.
    6. Christian Walkshäusl & Sebastian Lobe, 2014. "The Alternative Three†Factor Model: An Alternative beyond US Markets?," European Financial Management, European Financial Management Association, vol. 20(1), pages 33-70, January.
    7. Hou, Kewei & Xue, Chen & Zhang, Lu, 2017. "Replicating Anomalies," Working Paper Series 2017-10, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    8. Aziz, Tariq & Ansari, Valeed Ahmad, 2014. "Size and value premiums in the Indian stock market," MPRA Paper 60451, University Library of Munich, Germany.
    9. Huang, Tao & Li, Junye & Wu, Fei & Zhu, Ning, 2022. "R&D information quality and stock returns," Journal of Financial Markets, Elsevier, vol. 57(C).
    10. Chiao, Chaoshin & Hueng, C. James, 2005. "Overreaction effects independent of risk and characteristics: evidence from the Japanese stock market," Japan and the World Economy, Elsevier, vol. 17(4), pages 431-455, December.
    11. Skočir, Matevž & Lončarski, Igor, 2018. "Multi-factor asset pricing models: Factor construction choices and the revisit of pricing factors," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 55(C), pages 65-80.
    12. Kolari, James W. & Huang, Jianhua Z. & Butt, Hilal Anwar & Liao, Huiling, 2022. "International tests of the ZCAPM asset pricing model," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
    13. Magdalena Morgese Borys & Petr ZemÄÂik, 2011. "Size and Value Effects in the Visegrad Countries," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 47(3), pages 50-68, May.
    14. Israel, Ronen & Moskowitz, Tobias J., 2013. "The role of shorting, firm size, and time on market anomalies," Journal of Financial Economics, Elsevier, vol. 108(2), pages 275-301.
    15. Douglas W. Blackburn & Nusret Cakici, 2020. "Tangible and intangible information in emerging markets," Review of Quantitative Finance and Accounting, Springer, vol. 54(4), pages 1509-1527, May.
    16. Fama, Eugene F. & French, Kenneth R., 2012. "Size, value, and momentum in international stock returns," Journal of Financial Economics, Elsevier, vol. 105(3), pages 457-472.
    17. Ferson, Wayne E. & Sarkissian, Sergei & Simin, Timothy, 1999. "The alpha factor asset pricing model: A parable," Journal of Financial Markets, Elsevier, vol. 2(1), pages 49-68, February.
    18. Kent Daniel & David Hirshleifer & Lin Sun, 2020. "Short- and Long-Horizon Behavioral Factors," The Review of Financial Studies, Society for Financial Studies, vol. 33(4), pages 1673-1736.
    19. Gabriel Hawawini & Donald B. Keim, "undated". "The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings," Rodney L. White Center for Financial Research Working Papers 08-99, Wharton School Rodney L. White Center for Financial Research.
    20. Luisito Bertinelli & Arnaud Bourgain & Florian Léon, 2020. "Corruption and tax compliance: evidence from small retailers in Bamako, Mali," Applied Economics Letters, Taylor & Francis Journals, vol. 27(5), pages 366-370, March.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:pacfin:v:12:y:2004:i:3:p:245-269. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/pacfin .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.