Misvaluing Innovation
研究发现企业的创新能力可预测且持续，但股市在估值时忽略了历史记录。基于历史记录的多空策略年化超额收益约11%，且历史记录还能预测专利、引用和新产品等实际创新成果。
We demonstrate that a firm's ability to innovate is predictable, persistent, and relatively simple to compute, and yet the stock market appears to ignore the implications of past successes when valuing future innovation. We show that two firms that invest the same in R&D can have quite divergent, but predictably divergent, future paths based on their past track records. A long-short portfolio strategy that takes advantage of the information in past track records earns abnormal returns of roughly 11% annually. Importantly, these past track records also predict divergent future real outcomes in patents, patent citations, and new product innovations. The Author 2013. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: journals.permissions@oup.com., Oxford University Press.