Idiosyncratic Risk and Innovation: A Firm and Industry Level Analysis

Mazzucato, Mariana and Tancioni, Massimiliano (2008) Idiosyncratic Risk and Innovation: A Firm and Industry Level Analysis. Industrial and Corporate Change, 17(4). pp. 779-811.

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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: Article
Schools and Departments: University of Sussex Business School > SPRU - Science Policy Research Unit
Depositing User: Mariana Mazzucato
Date Deposited: 06 Feb 2012 20:19
Last Modified: 03 Apr 2012 15:11
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