Does R&D expenditure volatility affect stock return?

Why Does Return Volatility Difier in Chinese Stock Markets?

We estimate a dynamic model under Anderson’s Modifled Mixture of Distribution Hypothesis (MMDH) to explore the underlying causes of the volatility difierences between China’s domestic A shares and foreign B shares. We flnd evidence that some of the greater return volatility for A-shares is due to a substantially larger number of investors leading to a higher probability of trading on a given \n...

Stock Return Volatility and Capital Structure Decisions∗

We comprehensively examine the effects of stock return volatility on firms’ financial and investment decisions. Consistent with theories of investment with financing frictions, firms with high volatility actively reduce their leverage, cut investment, increase cash holding, cut non-cash current assets such as inventories and account receivables, and cut dividend. The effects of volatility are s...

Information Systems and Stock Return Volatility

Measuring Information Systems (IS) value has been constantly attracting much attention and debate within the IS research community. Since information systems effects are often difficult to quantify, traditional payoff evaluation methods often yield conflicting results. In this paper we suggest that some information systems can be evaluated on the basis of their effect on stock return volatility...

R&D, Patents and Stock Return Volatility

Stock Return Volatility in Emerging Markets

This paper presents an empirical analysis of volatility and contagion across 19 emerging and developed stock markets in the 1990s. First, using an efficient estimate of unconditional stock return volatility we show that contemporaneous return and volatility correlation across stock markets have increased substantially in the 1990s. Second, using simple rolling regressions and goodness of fit me...