Innovation and market value: a quantile regression analysis

Coad, Alex and Rao, Rekha (2006) Innovation and market value: a quantile regression analysis. Economics Bulletin, 15 (13). pp. 1-10.

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We construct a new database by matching firm-level Compustat data to NBER patent data,
for four 2-digit complex technology sectors. Whilst conventional regression estimators show
that the stock market does recognise efforts at innovation, quantile regression analysis adds a
new dimension to the literature, suggesting that the influence of innovation on market value
varies dramatically across the market value distribution. For firms with a low value of
Tobin's q, the stock market will barely recognize their attempts to innovate. For firms with
the highest values of Tobin's q, however, their market value is particularly sensitive to
innovative activity.

Item Type: Article
Schools and Departments: University of Sussex Business School > SPRU - Science Policy Research Unit
Depositing User: Alex Coad
Date Deposited: 06 Feb 2012 19:03
Last Modified: 02 Apr 2012 13:45
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