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|Title:||R&D investment and systematic risk||Authors:||Ho, Y.K.
Monte Carlo simulations
|Issue Date:||2004||Citation:||Ho, Y.K.,Xu, Z.,Yap, C.M. (2004). R&D investment and systematic risk. Accounting and Finance 44 (3) : 393-418. ScholarBank@NUS Repository. https://doi.org/10.1111/j.1467-629x.2004.00116.x||Abstract:||The present study investigates the relationship between a firm's R&D intensity and the risk of its common stock, by analysing a sample of firms which are more profitable, larger in market capitalization and more R&D intensive than the universe of US-listed firms. The results from the portfolio analysis, Monte Carlos simulations and correlation analysis of our sample show that: (i) R&D intensity is positively related to systematic risk in the stock market; (ii) the greater systematic risk is largely attributable to the greater intrinsic business risk and the greater operating risk of R&D-intensive firms; (iii) R&D-intensive firms carry marginally less financial leverage but they do not differ from other firms in terms of operating leverage; and (iv) our results are particularly strong in the manufacturing sector. For the non-manufacturing sector, the results are not robust for different study periods. © AFAANZ, 2004.||Source Title:||Accounting and Finance||URI:||http://scholarbank.nus.edu.sg/handle/10635/44532||ISSN:||08105391||DOI:||10.1111/j.1467-629x.2004.00116.x|
|Appears in Collections:||Staff Publications|
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