Crisis and COVID-prone idiosyncratic volatility.

This study examines the impact of patent activity on the idiosyncratic volatility (IVOL) of U.S. pharmaceutical companies, addressing a critical gap in the literature on the relationship between innovation and firm-specific risk. Using panel data from Thomson Reuters/Refinitiv covering 2,910 firms over 2005−2024, we employ the Fama-French 5-factor model to isolate firm-specific volatility and analyze how patent events and pharmaceutical development activities affect stock price risk. Our findings reveal a complex relationship between innovation and volatility that varies by development stage. While patent activity overall reduces idiosyncratic volatility, early and mid-stage development projects (Phase I and II) initially increase firm-specific risk, reflecting inherent uncertainties in drug development. Conversely, newly launched products significantly reduce volatility, indicating that risk mitigation occurs primarily at commercialization. These relationships remain robust during crisis periods, including the 2008−09 financial crisis and COVID-19 pandemic. The results provide valuable insights for investors seeking to assess pharmaceutical investment risks, managers optimizing innovation portfolios, and policymakers designing intellectual property frameworks. The study’s focus on the U.S. market and reliance on patent counts rather than quality measures suggest important avenues for future research across different regulatory environments and innovation metrics.本研究考察了专利活动对美国医药企业特质波动率（idiosyncratic volatility, IVOL）的影响，弥补了现有文献在创新与企业特质风险关系研究中的关键空白。本研究使用汤森路透/路孚特（Thomson Reuters/Refinitiv）提供的2005年至2024年间覆盖2910家企业的面板数据，采用法玛-弗伦奇五因子模型（Fama-French 5-factor model）分离企业特质波动率，进而分析专利事件与医药研发活动如何影响股价风险。研究结果显示，创新与波动率之间存在复杂的关联，且该关联随研发阶段的不同而存在差异。尽管整体而言专利活动会降低特质波动率，但早期与中期研发项目（I期与II期临床试验）最初会提升企业特质风险，这反映了药物研发过程中固有的不确定性。反之，新上市的产品则会显著降低波动率，表明风险缓释主要发生在商业化阶段。此类关联在2008至2009年金融危机、新冠疫情（COVID-19 pandemic）等危机时期依然保持稳健。本研究结果可为评估医药投资风险的投资者、优化创新组合的企业管理者以及设计知识产权框架的政策制定者提供极具价值的参考视角。本研究聚焦美国市场，且仅采用专利数量而非专利质量作为衡量指标，这为未来在不同监管环境下运用不同创新衡量指标开展相关研究提供了重要方向。