Kraft, Holger; Schwartz, Eduardo S.; Weiss, Farina - 2013 - This version: February 5, 2013
(average) Tobin's Q increases with firm-level volatility. However, the significance mainly comes from R&D firms, which have … relation of stock returns to realized contemporaneous idiosyncratic volatility and R&D expenses. Single sorting according to …-factor model the portfolio alphas of R&D portfolios are all positive. Double sorting on idiosyncratic volatility and R&D expenses …