volatility

Topics: Innovation, Patent, Stock market Pages: 36 (16764 words) Published: March 1, 2015
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Stock Price Volatility and Patent Citation Dynamics:
the case of the pharmaceutical industry
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Mazzucato, Mariana and Tancioni, Massimiliano (2008). Stock Price Volatility and Patent Citation Dynamics: the case of the pharmaceutical industry. INNOGEN.

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STOCK PRICE VOLATILITY AND PATENT CITATION DYNAMICS: THE CASE OF THE PHARMACEUTICAL INDUSTRY

*M ARIANA M AZZUCATO
(OPEN UNIVERSITY)
**MASSIMILIANO TANCIONI
(UNIVERSITY OF ROME)

INNOGEN WORKING PAPER NO. 64
JULY 2008
*Econ. Dept, Open University, Walton Hall, Milton Keynes, MK7 6AA, UK, m.mazzucato@open.ac.uk ** Econ. Dept, University of Rome La Sapienza, massimilano.tancioni@uniroma1.it Mazzucato acknowledges support from the ESRC Innogen centre (www.innogen.ac.uk), the DIME Network of Excellence and a British Academy Grant (Firm growth dynamics during different knowledge regimes). Comments from participants at various seminars and conferences are also appreciated, including the 2006 IKD-DIME workshop in London, a seminar at CESPRI-Bocconi, and the CERF Cambridge workshop on ‘Technology and Bubbles’. All errors remain our own.

INNOGEN Working Paper 64
CONTENTS

July 2008
Page

Abstract...........................................................................................................................3 1. Introduction .................................................................................................................3 2. Innovation and Stock Prices (level vs. volatility): a quick review ..................................5 2.1 Innovation and stock prices (level) .........................................................................6 2.2 Innovation and stock price volatility (with no innovation data) ................................7 2.3 Firm level innovation and stock price volatility (with innovation data) .....................7 3. Data and constructed variables ...................................................................................9 3.1 Data......................................................................................................................9 3.2 Truncation and other data issues .........................................................................11 3.3 The pharma-biotech sector ..................................................................................12 4. Descriptive statistics and model selection..................................................................13 4.1. Descriptive statistics ...........................................................................................13 4.2 Model selection....................................................................................................14 5. Results ......................................................................................................................17 6. Conclusion ................................................................................................................22 References....................................................................................................................24 Figure 1.........................................................................................................................27 Figure 2 Dynamic correlations.......................................................................................28 Figure 3 Innovation and market share...

Citations: Tushman, M., and Anderson, P. (1986). “Technological Discontinuities and
Organizational Environments,” Administrative Science Quarterly, 31: 439-465.
Figure 1
Number of Firms (1962-1999)
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