Illiquidity, R&D Investment, and Stock Returns
提出一个研发项目的动态模型，预测公司研发投资与预期股票收益的正向关系会随股票非流动性增强而加强，并用美国股市数据验证了这一预测。
Abstract We propose a dynamic model of research and development (R&D) venture, which predicts that the positive relation between the firm's R&D investment and the expected stock returns strengthens with illiquidity. Consistent with the model's prediction, empirical evidence based on cross‐sectional regressions and double‐sorted portfolios largely suggests a stronger and positive R&D–return relation among illiquid stocks. A further analysis shows that the important role of illiquidity in the R&D–return relation cannot be explained by factors, such as financial constraints, innovation ability, and product market competition. Collectively, our results suggest that stock illiquidity is an independent driver of the R&D premium.