RD-Intensive Portfolio
Stuart School of Business research presentation by: Associate Professor of Finance Li Cai and Di He, Stuart Ph.D. student
RD-Intensive Portfolio
- Associate Professor of Finance Li Cai
- Di He, Stuart Ph.D. student
Abstract:
This research confirms the positive association between RD-intensity and market excess return for 40 years. However, the market excess return decreases significantly after the "Tech Bubble." We suggest that both investor sentiment and risk bearing play important roles in the positive association between RD-intensity and market excess return, because this plunge of alphas is more obvious in RD-intensive firms which are small, unprofitable, and non-dividend paying. Based on the cycle characteristics of style investing, we integrate RD-intensive style with profit style and get a stable mixed RD-profitability strategy that never had a losing five-year period over the sample (July 1978 to June 2018).
The Friday Research Presentations series showcases ongoing academic research projects conducted by Stuart faculty, as well as research presentations made by faculty at other leading business schools.
All Illinois Tech faculty, students, and staff are invited to attend.