Stock Price Volatility and Patent Citation Dynamics: the case of the pharmaceutical industry
Stock Price Volatility and Patent Citation Dynamics: the case of the pharmaceutical industry
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股价波动与专利引用动态：以制药行业为例
DOI：
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发表时间：
2008
期刊：
影响因子：
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通讯作者：
M. Tancioni
中科院分区：
文献类型：
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作者：
M. Mazzucato;M. Tancioni
最近的金融文献强调了技术变革在增加公司特定和总体股票价格波动中的作用（Campbell et al. 2001, Shiller 2000, Pastor and Veronesi 2006）。然而，这些分析中并未使用创新数据，因此创新与波动性之间的直接关系未经测试。我们的目标是使用公司级专利引用数据更密切地研究股价波动与创新之间的关系。该分析以 Mazzucato（2002；2003）的实证研究为基础，研究发现，在行业生命周期中，当创新（在行业层面衡量）最具“能力破坏性”时，股价波动性最高。在这里，我们询问那些在创新上投入更多（更多研发和更多专利）和/或拥有“更重要”创新（更多引用的专利）的公司是否会经历更大的波动性。我们重点分析 1974 年至 1999 年间制药和生物技术行业的公司。结果表明，特殊风险、研发强度和各种专利相关措施之间存在显着的正相关关系。将股价水平和波动性与创新联系起来的“理性泡沫”假说也得到了初步支持。
Recent finance literature highlights the role of technological change in increasing firm specific and aggregate stock price volatility (Campbell et al. 2001, Shiller 2000, Pastor and Veronesi 2006). Yet innovation data is not used in these analyses, leaving the direct relationship between innovation and volatility untested. Our aim is to investigate more closely the relationship between stock price volatility and innovation using firm level patent citation data. The analysis builds on the empirical work by Mazzucato (2002; 2003) where it is found that stock price volatility is highest during periods in the industry life-cycle when innovation (measured at the industry level) is the most 'competencedestroying'. Here we ask whether firms which invest more in innovation (more R&D and more patents) and/or which have 'more important' innovations (patents with more citations) experience more volatility. We focus the analysis on firms in the pharmaceutical and biotechnology industries between 1974 and 1999. Results suggest that there is a positive and significant relationship between idiosyncratic risk, R&D intensity and the various patent related measures. Preliminary support is also found for the 'rational bubble' hypothesis linking both the level and volatility of stock prices to innovation.