WiP Seminar: Fabio Franceschini

Title: "Risky Innovation"

Date: 07 April 2022 from 13:00 to 14:00
Event location: Seminar Room - Piazza Scaravilli, 2 + Microsoft Teams Meeting

Abstract

Cointegration between aggregate US R&D investment and Total Factor Productivity (TFP) provides an R&D intensity measure that allows to study the aggregate R&D risk-reward frontier. This measure proves being a relevant state variable to financial markets, showing forecasting power with respect to the US market excess return and the equity term premium.