Gea Cristiane, Klotzle Marcelo Cabus, Vereda Luciano, Pinto Antonio Carlos Figueiredo
Universidade Federal Fluminense (UFF), Rua Miguel de Frias, 9, Icaraí, Niterói, RJ 24220-900 Brazil.
Pontifical Catholic University of Rio de Janeiro, Rua Marquês de São Vicente, 225, Gávea, Rio de Janeiro, RJ 22451-900 Brazil.
SN Bus Econ. 2023;3(1):25. doi: 10.1007/s43546-022-00400-5. Epub 2022 Dec 28.
This article analyzes the pricing of innovations in the Brazilian stock market during periods of economic uncertainty. Cross-sectional data were analyzed using the generalized method of moments technique, and our findings indicate that during such periods, innovations negatively impact excess stock returns. Furthermore, our findings suggest that innovations during economic uncertainty improve the pricing of financial assets, making them a significant risk factor. These results are corroborated by those for the Corporate Sustainability Index and the Small Caps Index in the robustness analysis.
本文分析了经济不确定性时期巴西股票市场创新的定价。使用广义矩估计技术对横截面数据进行了分析，我们的研究结果表明，在这些时期，创新对股票超额回报产生负面影响。此外，我们的研究结果表明，经济不确定性时期的创新改善了金融资产的定价，使其成为一个重要的风险因素。稳健性分析中企业可持续发展指数和小盘股指数的结果证实了这些结果。
