The impact of R&D intensity on the volatility of stock price: A study of the Swedish Market during year 1997-2005
2007 (English)Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE credits
Student 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. , p. 35
Keywords [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, id: diva2:2554
Presentation
(English)
Uppsok
Social and Behavioural Science, Law
Supervisors
Examiners
2007-10-312007-10-312010-02-17