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- W2005014720 abstract "In this study, we examine how a firm’s advertising and R&D affects the firm’s β-risk and idiosyncratic risk, which are metrics of interest to both finance executives and senior management. Due to the existence of non-normal finance data and heteroscedasticity, this study uses quantile regression to analyze the sample in order to avoid estimation bias. We generate six empirical generalizations. (1) Advertising is significantly associated with lower β-risk for firms with lower, median and higher β-risk. (2) R&D significantly increases β-risk for firms with median and higher β-risk firms. (3) Advertising is significantly associated with lower idiosyncratic risk for firms with higher idiosyncratic risk. (4) R&D is significantly associated with higher idiosyncratic risk for firms with median and higher idiosyncratic risk. (5) Our evidence shows that both advertising and R&D have a stronger effect on firms with higher β- and idiosyncratic risk than on those with lower β- and idiosyncratic risk, respectively. (6) Moreover, our evidence suggests that advertising and R&D tests resoundingly support our hypothesis that the coefficients vary across the quantiles" @default.
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- W2005014720 date "2011-01-01" @default.
- W2005014720 modified "2023-09-23" @default.
- W2005014720 title "Advertising, Research and Development, and Capital Market Risk: High Risk Versus Low Risk Firms" @default.
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- W2005014720 doi "https://doi.org/10.2139/ssrn.1770444" @default.
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