Document Type
Article
Abstract
We analyze the effects of limited investor attention on the stock market reaction to innovation announcements and develop a new measure of patents’ economic value. We hypothesize that, when some investors pay delayed attention to innovation announcements, there will be a post-announcement drift in addition to the announcement effect, with the former decreasing and the latter increasing in investor attention. Using media coverage and abnormal Google search volume as investor attention proxies, we find consistent evidence. Our new attention-weighted measure of patents’ economic value has greater predictive power for future firm performance than measures based on the announcement effect alone.
Digital Object Identifier (DOI)
Publication Info
Published in Journal of Financial and Quantitative Analysis, Volume 61, Issue 1, 2025, pages 206-238.
APA Citation
Chemmanur, T. J., Li, D., Tseng, K., & Wang, Y. Y. (2025). Measuring the economic value of an innovation when some investors are inattentive. Journal of Financial and Quantitative Analysis, 61(1), 206–238. https://doi.org/10.1017/s0022109025101658
Rights
© The Author(s), 2025. Published by Cambridge University Press on behalf of the Michael G. Foster School of Business, University of Washington This is an Open Access article, distributed under the terms of the Creative Commons Attribution licence (http://creativecommons.org/licenses/by/4.0), which permits unrestricted re-use, distribution and reproduction, provided the original article is properly cited.