Research of innovation activity influence on return of stocks in industrial enterprises
Abstract
The paper investigates the possibility of using the Fama-French Three Factor Model to determine the effect of innovation on the market value of the enterprise's securities, and the regulation of index that characterizes excessive equity returns is proposed to register. The structure of determinated influencing factor to model the connection of innovation and market value of the enterprise's securities was fixed. The methods of calculating the parameters which are the part of the Fama-French Model are given considering their adaptation to the economic conditions of developing countries. The indicators of innovation activity of enterprises, the index of economic development and innovation of the country are proposed to use as a variable component of the model. With the help of software complex Stata 12 the results of structural modeling impact of the innovations on the characteristics of profitableness and risk in assessing the market value of securities of Ukrainian enterprises are received.