We document novel results that the lottery effect (lottery-like stocks earn lower returns) is much stronger in liquid stocks. We posit that noise traders dominate the trading of liquid lottery-like stocks, as described in the limits to arbitrage literature, who are attracted by the high jackpot...

Security regulators charge firms with providing material information about intangible investments to outside investors. Among the many firms that do not report their advertising, 25% are in the top decile of observed advertising. We find that relying on managerial judgment for disclosure...

This paper empirically examines the effects of industrial and geographic innovations on firm-level profitability and stock returns due to spillovers. Using the data of U.S. patents and patent inventors, we propose empirical proxies for industrial and geographic spillovers and find a positive...

Using comprehensive patent lawsuit data from 2000 to 2014, we find that a stock portfolio consisting of firms involved in patent lawsuits provides significantly positive stock returns (between 0.56% to 1.02% per month) in the following year. We propose and examine several possible explanations...

Firms with higher R&D intensity subsequently experience higher stock returns in international stock markets, highlighting the role of intangible investments in international asset pricing. The R&D effect is stronger in countries where growth option risk is more likely priced, but is unrelated to...

By constructing high-frequency measures of informed trading and news about technological competition, we provide evidence that the news about a firm's disadvantage in competition leads to informed selling. Such a pattern is weaker among firms in the industries with faster technology obsolescence...