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The impact of R&D intensity on the volatility of stock price: A study of the Swedish Market during year 1997-2005
University of Skövde, School of Technology and Society.
University of Skövde, School of Technology and Society.
2007 (English)Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

This thesis investigates the theoretical and empirical relationships between a firm’s R&D investment intensity and the systematic risk of its common stock in Sweden. This is done by examining 38 Swedish firms between 1997 and 2005. An overlapping set of 5-year window is chosen to apply to calculate the variables of the samples.

In this thesis, three factors are introduced as a proxy of main constituents of systematic risk: intrinsic business risk, degree of financial leverage and degree of operating leverage. And we use these three constituents to analysis the relationship between R&D investment and systematic risk.

The results from Monte Carlos simulations and correlation analysis of our sample show that, in Sweden, firms with higher R&D intensity do face higher stock price volatility in the stock market. At the same time, we attempt to test the relationship among R&D and systematic risk’s three constituents, but find that R&D intensive firms have more financial leverage which is opposite to our expect, which might due to the shortage of data and limitation of our sample selection, and R&D intensive firms do not have obvious relations directly with intrinsic business risk, degree of financial leverage or degree of operating leverage.

Place, publisher, year, edition, pages
Skövde: Institutionen för teknik och samhälle , 2007. , 35 p.
Keyword [en]
R&D intensity, Systematic risk, Operating leverage, Financial leverage
National Category
Economics
Identifiers
URN: urn:nbn:se:his:diva-202OAI: oai:DiVA.org:his-202DiVA: diva2:2554
Presentation
(English)
Uppsok
Social and Behavioural Science, Law
Supervisors
Examiners
Available from: 2007-10-31 Created: 2007-10-31 Last updated: 2010-02-17

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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf