Abstract

The paper investigates the possibility of using the Fama-French Three Factor Model to determine the effect of innovation on the market value of the enterprise’s securities, and the regulation of index that characterizes excessive equity returns is proposed to register. The structure of determinated influencing factor to model the connection of innovation and market value of the enterprise’s securities was fixed. The methods of cal-culating the parameters which are the part of the Fama-French Model are given considering their adaptation to the economic conditions of developing countries. The indicators of innovation activity of enterprises, the index of economic development and innovation of the country are proposed to use as a variable component of the model. With the help of software complex Stata 12 the results of structural modeling impact of the innovations on the characteristics of profitableness and risk in assessing the market value of securities of Ukrainian enterprises are received.

Keywords: innovations, return on equity, modeling, risks, innovative activity, industrial enterprises.

JEL Classification: O31, D24, L25, C51.

Cite as: Obidjon, G. Zakharkin, O., Zakharkina, L. (2017). Research of innovation activity influence on return of stocks in industrial enterprises. SocioEconomic Challenges, 1(2), 80-102. http://doi.org/10.21272/sec.1(2).80-102.2017.

References

1. Black, F., Sholes, M. (1974). The Pricing of Options and Corporate Liabilities. Journal of Political Economy, 81(3), 637-654.
2. Bowman D., Gatignon H. (2009). Market response and marketing mix models: trends and research opportunities. Foundations and Trends in Marketing, 3, 129-207.
3. Carhart, M.M. (1997). On Persistence in Mutual Fund Performance. The Journal of Finance, 52(1),
   57-82. Retrieved from http://onlinelibrary.wiley.com/enhanced/doi/10.1111/j.1540-6261.1997.tb03808.x/.
4. Chan, L.K.C., Lakonishok, J., Sougiannis, T. (2001). The stock market valuation of research and development expenditures. Journal of Finance, 56(6), 2431-2457.
5. Economic Research. 3-Month Treasury Bill: Secondary Market Rate (2011-2013). Federal Reserve bank of St. Louis. Retrieved from http://research.stlouisfed.org/fred2/series/TB3MS.
6. Fama, E.F., French, K.R. (1996). Multifactor Explanations of Asset Pricing Anomalies. Journal of Finance, 51, 55-84.
7. Hall, B.H., Oriani, R. (2006). Does the market value R&D investment by European firms? Evidence from a panel of manufacturing firms in France, Germany, and Italy. International Journal of Industrial Organization, 24(5), 971-993.
8. Hubbard R. Glenn (2004). Money, the Financial System, and the Economy. In M. Savluk,
   D. Olesnevych (Eds.). Kyiv: КNЕU.
9. Kaminskiy, А.B. (2007). Economic-mathematical modelling of the financial risks. Extended abstract of Doctor’s thesis. Kyiv (in Ukrainian).
10. Kothari, S., Laguerre, T., Leone, A. (2002). Capitalization versus expensing: evidence on the uncertainty of future earnings from capital expenditures versus R&D outlays. Review of Accounting Studies, 7, 355-382.
11. Lantz, J.-S., Sahut, J.-M. (2005). R&D investment and the financial performance of technological firms. International Journal of Business, 10(3), 251-270.
12. Lintner, J. (1965). The Valuation of Risky Assets and the Selection of Risky Investments in Stock Portfolio and Capital Budgets. Review of Economics and Statistics, 13-27.
13. McAlister, L., Srinivasan, R., Kim, M. (2007). Advertising, research and development, and systematic risk of the firm. Journal of Marketing, 71, 35-48.
14. Mossin, J. (1966). Equilibrium in a Capital Asset Market. Econometrica, 34(4), 768-783.
15. Ngobo, P.V., Gatignon, H. (2012). Explaining cross-country differences in the effects of R&D expenditures on risk and stock returns. INSEAD, p. 50. Retrieved from http://www.insead.edu/facultyresearch/research/doc.cfm?did=50382.
16. Ross, S.A. (1977). Return, Risk and Arbitrage. In Friend, I., Bicksler, J.L. (Eds.). Risk and Return in Finance, 1, pp. 189-218.
17. Sharpe, W.F. (1964). Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. The Journal of Finance, 19(3), pp. 425-442. Retrieved from http://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.1964.tb02865.x/full.
18. Sharpe, W.F. (1970). Portfolio Theory and Capital Markets. New Jork.
19. StataCorp (2013). Stata structural equatin modeling: reference manual. Release 13. Statistical Software. College Station. Texas: StataCorp LP. Retrieved from http://www.stata.com/manuals13/sem.pdf.
20. Stock Exchange “PFTS”. (2010-2013). Retrieved from http://www.pfts.ua/uk/.
21. Stock market infrastructure development agency of Ukraine (2014). Data basis. Retrieved from http://smida.gov.ua/db/emitent/search.
22. The Heritage Foundation (2014). Index of economic freedom: promoting economic opportunity and prosperity by country. Retrieved from http://www.heritage.org/index/.
23. Tobin, J. (1965). The Theory of Portfolio Selection. In Hahn, F.H. and Brechling, F.R.P. (Eds.). The Theory of Interest Rate (pp. 3-51). London: Macmillan.
24. Vitlinskiy, V.V., Velykoivanenko, H.І. (2004). Riskology in the economy and enterprising. Kyiv: КNЕU.
25. World Economic Forum. (2014). The Global Competitiveness Report 2014-2015. Retrieved from http://www.weforum.org/reports/global-competitiveness-report-2014-2015.