Ricerc@Sapienza

It is well-known that markets react to financial information in the short run according to the efficiency market hypothesis. However, information is not limited to financial disclosure. In the current growth paradigm driven by technological progress, the innovation related information assume a central role in determining stock market fluctuations and overall firms¿ performances. The knowledge about the mechanism of how innovation related information affect stock market short term return is still rare. Our project aims at contributing to the ongoing debate about information and value of firm by exploring how innovation related information affect stock market returns of top 100 non-financial European firms in the short run during the period 2002-2016. By using Event study analysis, we jointly and simultaneously test the significance of different kind of information related to innovation (technical information about patenting activities and management voluntary delivered information about technology) on stock market returns. The present research proposal challenges some of the limits of the extant literature by allowing for a deeper analysis of the content and quality of information and their influence on firms `stakeholders. Our analysis may have several implications for both firms (managerial implications) and policy makers (regulatory implications). At a firm level, the analysis could suggest to management which behaviour about innovation related information could be beneficial to company¿s strategy. At a policy level, the analysis may help the regulatory bodies to identify the relevant channel of information to be monitored in order to smooth abnormal pricing fluctuations.