https://scholars.lib.ntu.edu.tw/handle/123456789/414858
標題: | Limits-to-arbitrage, investment frictions, and innovation anomalies | 作者: | Chan K. Lin Y.-H. Wang Y. |
關鍵字: | Investment frictions;Limits-to-arbitrage;R&D premium | 公開日期: | 2017 | 卷: | 43 | 起(迄)頁: | 1-14 | 來源出版物: | Pacific Basin Finance Journal | 摘要: | 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. ? 2017 Elsevier B.V. |
URI: | https://scholars.lib.ntu.edu.tw/handle/123456789/414858 | ISSN: | 0927538X | DOI: | 10.1016/j.pacfin.2017.01.001 |
顯示於: | 財務金融學系 |
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