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Contribution Details
| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | Measuring innovation: possible factors and the data envelopment analysis |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 34 |
| Date | 2021 |
| Abstract Text | Innovation demonstrates powerful influence as we evaluating corporate performance. Firms that engage intensively in innovation development or invest heavily in Research and Development activities earn higher risk-adjusted returns. Combing the insights and conclusions from existing researches, we propose a set of meaningful variables measuring innovation. The innovation factor is then composed based on the significant variables, which rationalize this special risk premium. In order to test the contribution of our factors under the established asset pricing system, we form an evaluating process for newly proposed factors, from the extra alpha for the Fama-French model to a more rigorous test based on the loading on stochastic discount factor. While we apply different mechanisms to the variable pool to set up the factor or the portfolios, data envelopment analysis (DEA) method is shown to give the best performance. |
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