 Learning from the Joneses: Technology spillover, innovation externality, and stock returnsKevin Tseng Journal of Accounting and Economics, 2022, vol. 73, issue 2 Abstract: This paper provides empirical evidence for the role of technology spillover, an important innovation externality, in asset pricing. Using patent and R&D data, I show that firms with more technology spillover earn 7.7% higher annualized returns than firms with less technology spillover. Exploiting three quasi-natural experiments, I find that the return effect is strengthened (attenuated) when there is a plausibly exogenous increase (decrease) in the flow of technological information across firms. I also find that firms with more technology spillover have higher cash flow sensitivity to aggregate consumption, numbers of new products, and stock return synchronicity. These findings are consistent with models on learning about new technology; specifically, spillover enables learning about new technology to facilitate timely and large-scale adoption of new technology, which in turn exposes spillover recipients to additional systematic risk. These findings highlight the influence of innovation externality on stock returns. Keywords: Technology spillover; Externality; Natural experiments; Information flow; Disclosure; Stock returns (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jaecon:v:73:y:2022:i:2:s0165410122000015 DOI: 10.1016/j.jacceco.2022.101478 Access Statistics for this article Journal of Accounting and Economics is currently edited by J. L. Zimmerman, S. P. Kothari, T. Z. Lys and R. L. Watts More articles in Journal of Accounting and Economics from Elsevier |
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