Li, Jian-Fa; Lin, Yih-Bey; Hong, Cheng-Yih - In: Applied Economics Letters 19 (2012) 4, pp. 383-386
This study examines the Research and Development (R&D) effect on stock returns. By modifying Kyle's (1985) model, we construct an asset pricing model and propose a related hypothesis to investigate the information-related content of unusual increases in R&D expenditures. The empirical evidence...