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Presentation Slides for 'Innovative Efficiency and Stock Returns'

Journal of Financial Economics (JFE), Vol. 107, 2013
2018
  • 0
    Citations
  • 1,493
    Usage
  • 2
    Captures
  • 0
    Mentions
  • 0
    Social Media
Metric Options:   Counts1 Year3 Year

Metrics Details

  • Usage
    1,493
    • Abstract Views
      1,264
    • Downloads
      229
  • Captures
    2
    • Readers
      2
      • SSRN
        2
  • Ratings
    • Download Rank
      268,349

Paper Description

These are the presentation slides for the paper "Innovative Efficiency and Stock Returns". The abstract of the paper is the following: We find that innovative efficiency (IE), patents or citations scaled by research and development expenditures, is a strong positive predictor of future returns after controlling for firm characteristics and risk. The IE-return relation is associated with the loading on a mispricing factor, and the high Sharpe ratio of the Efficient Minus Inefficient (EMI) portfolio suggests that mispricing plays an important role. Further tests based upon attention and uncertainty proxies suggest that limited attention contributes to the effect. The high weight of the EMI portfolio return in the tangency portfolio suggests that IE captures incremental pricing effects relative to well-known factors. Link to the paper: https://ssrn.com/abstract=1799675.

Bibliographic Details

David Hirshleifer; Po-Hsuan Hsu; Dongmei Li

Innovative efficiency; Limited attention; Research and development; Market efficiency

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