+7 495 989 9610, 9am6pm (GMT+3), Monday – Friday
ИД «Финансы и кредит»






Financial Analytics: Science and Experience

Abstracting and Indexing

Referativny Zhurnal VINITI RAS
Google Scholar

Online available



Cyberleninka (24 month OA embargo)

The impact of innovation on the share price performance of digital firms

Vol. 12, Iss. 4, DECEMBER 2019

Received: 15 May 2019

Received in revised form: 7 June 2019

Accepted: 5 July 2019

Available online: 29 November 2019


JEL Classification: C11, G17

Pages: 435–449


Rogachev D.Yu. National Research Lobachevsky State University of Nizhny Novgorod (UNN), Nizhny Novgorod, Russian Federation


Subject This article deals with the issues of investments of companies in research and development (R&D), that influence the financial condition of organizations considerably.
Objectives The article aims to identify the relationships between the R&D costs and the share value of some U.S. companies and assess the impact of digital differentiation on the effectiveness of the company's investment policy in the field of R&D.
Methods For the study, I used the technique of econometric modeling of share price appreciation (time dependent price behavior), applying mixed models based on heterogeneous panel data.
Results The article presents certain criteria that help differentiate digital companies from the less digital ones. It shows how and what R&D costs of different companies and under what conditions have certain effect on the share price performance of the companies.
Conclusions The proposed models help establish and clarify the relationship between the company's innovation activity, general level of volatility in the stock market, and the level of digital development of the company.

Keywords: stock price, growth, volatility index, R&D expenditure, digital technology use


  1. Mandron V.V. [Volatility and investment parameters of the national stock market]. Byulleten' nauki i praktiki, 2016, no. 10, pp. 187–192. (In Russ.) URL: Link
  2. Zyamalov V.E. [Comparison of the predictive ability of single- and multi-regime models of stock market dynamics]. Finansovyi zhurnal = Financial Journal, 2017, no. 2, pp. 64–75. URL: Link (In Russ.)
  3. Malkina M.Yu., Yakovleva E.K. [Analysis of the influence of macroeconomic and industrial factors on companies' stock price]. Finansy i kredit = Finance and Credit, 2016, vol. 22, iss. 44, pp. 33–47. URL: Link (In Russ.)
  4. Malkina M.Yu., Yakovleva E.K. [An analysis of growth drivers of prices for the Russian companies' shares]. Regional'naya ekonomika: teoriya i praktika = Regional Economics: Theory and Practice, 2019, vol. 17, iss. 1, pp. 183–200. (In Russ.) URL: Link
  5. Chordia T., Roll R., Subrahmanyam A. Liquidity and Market Efficiency. Journal of Financial Economics, 2008, vol. 87, iss. 2, pp. 249–268. URL: Link
  6. Solodukhina A.V., Repin D.V. [How corporate news influence company stock price]. Korporativnye finansy, 2009, no. 1(9), pp. 41–69. (In Russ.) URL: Link
  7. Borochkin A.A. [Macroeconomic determinants of the currency and stock market shocks: A panel VAR approach]. Finansy i kredit = Finance and Credit, 2017, vol. 23, iss. 15, pp. 882–899. (In Russ.) URL: Link
  8. Apergis N. Policy Risks, Technological Risks and Stock Returns: New Evidence from the US Stock Market. Economic Modelling, 2015, vol. 51, pp. 359–365. URL: Link
  9. Wagner A.F., Zeckhauser R.J., Ziegler A. Company Stock Price Reactions to the 2016 Election Shock: Trump, Taxes and Trade. Journal of Financial Economics, 2018, vol. 130, iss. 2, pp. 428–451. URL: Link
  10. Kearney C. The Determination and International Transmission of Stock Market Volatility. Global Finance Journal, 2000, vol. 11, iss. 1-2, pp. 31–52. URL: Link00015-6
  11. Borochkin A.A., Rogachev D.Yu. [Short-term forecasting of stock market bubbles: Evidence from the U.S. economy]. Finansy i kredit = Finance and Credit, 2016, vol. 22, iss. 21, pp. 39–50. URL: Link (In Russ.)
  12. Hall B.H. The Stock Market's Valuation of R&D Investment During the 1980's. The American Economic Review, 1993, vol. 83, iss. 2, pp. 259–264. URL: Link
  13. Stein J.C. Takeover Threats and Managerial Myopia. Journal of Political Economy, 1988, vol. 96, iss. 1, pp. 61–80. URL: Link
  14. Jensen M.C. The Modern Industrial Revolution, Exit, and the Failure of Internal Control Systems. Journal of Finance, 1993, vol. 48, iss. 3, pp. 831–880. URL: Link
  15. Gharbi S., Sahut J.-M., Teulon F. R&D Investments and High-Tech Firms' Stock Return Volatility. Technological Forecasting and Social Change, 2014, vol. 88, pp. 306–312. URL: Link
  16. Gun Jea Yu, KiHoon Hong. Patents and R&D Expenditure in Explaining Stock Price Movements. Finance Research Letters, 2016, vol. 19, pp. 197–203. URL: Link
  17. Songur H., Heavilin J.E. Abnormal Research and Development Investments and Stock Returns. The North American Journal of Economics and Finance, 2017, vol. 42, pp. 237–249. URL: Link
  18. Ghossoub E.A., Beladi H. Technological Diffusion and Asset Prices. Economics Letters, 2011, vol. 111, iss. 1, pp. 1–5. URL: Link
  19. Fama E.F., French K.R. A Five-Factor Asset Pricing Model. Journal of Financial Economics, 2015, vol. 116, iss. 1, pp. 1–22. URL: Link
  20. Basak S., Kar S., Saha S. et al. Predicting the Direction of Stock Market Prices Using Tree-Based Classifiers. The North American Journal of Economics and Finance, 2019, vol. 47, pp. 552–567. URL: Link

View all articles of issue


ISSN 2311-8768 (Online)
ISSN 2073-4484 (Print)

Journal current issue

Vol. 13, Iss. 3
September 2020