Limits-to-arbitrage, investment frictions, and innovation anomalies

Autor:	Yueh-Hsiang Lin, Yanzhi Wang, Konan Chan
Rok vydání:	2017
Předmět:	040101 forestry Economics and Econometrics 050208 finance Financial economics 0502 economics and business 05 social sciences Economics 0401 agriculture forestry and fisheries 04 agricultural and veterinary sciences Arbitrage Investment (macroeconomics) Limits to arbitrage Finance
Zdroj:	Pacific-Basin Finance Journal. 43:1-14
ISSN:	0927-538X
DOI:	10.1016/j.pacfin.2017.01.001
Popis:	This paper examines whether the limits-to-arbitrage and investment frictions hypotheses explain the research and development (R&D) premium. We find that the R&D premium is stronger for stocks that are hard to arbitrage and for stocks with investment frictions. The limits-to-arbitrage explanation explains more of the R&D premium than does the investment frictions explanation. Our results hold under the two-way sorts on limits-to-arbitrage and investment frictions measures. We also examine the impact of limits-to-arbitrage and investment frictions on innovation efficiency and R&D ability. We find that the limits-to-arbitrage and investment frictions are equally effective in explaining the two new innovation anomalies.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::652455a28743cb2f5a1af247a10aeb98 https://doi.org/10.1016/j.pacfin.2017.01.001 Zobrazit plný text záznamu Full Text from ScienceDirect