Keywords
factor models
research and development expenses
Newey-West method
How to Cite
Abstract
This study measures short-term abnormal returns caused by changes in research and development expenditures (i.e., R&D intensity).
We document abnormal returns for portfolios formed by firms that increase R&D intensity in the range of 5 to 10 R&D intensity units, and for firms with a R&D intensity increase above 25 units.
However, returns remain indifferent (i.e., no abnormal returns) when firms decrease research and development expenditures. Further, abnormal returns are higher for high technology firms. These results are consistent with previous studies. The analysis was made for firms listed in AMEX, NYSE, and NASDAQ during the 2001-2006 periods
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