Раскрытие информации об инновационной деятельности российскими публичными компаниями и реакция фондового рынка
The paper is focused on the analysis of Russian stock market reaction on the announcements related to innovative activity of Russian traded companies. We use event study methodology to estimate abnormal stock returns in the announcement day. It is assumed that information about company’s progress in innovative activity is incorporated in stock prices. Therefore, if stock market investors positively perceive company's developments and its disclosure, it should be positive abnormal stock returns. The results show that Russian investors positively assess the announcements about completion of innovative project or its stage. Moreover, the reaction is independent of innovation type: development of a new product, production technology or organization practices. In addition, the reaction is stronger for larger companies that corresponds to increasing returns to scale assumption.