Technological Change and Stock Return Volatility: Evidence from Ecommerce Adoptions

摘要: This paper is among the first to use a unique controlled empirical setting - traditional firms' adoption of Internet for commerce investigate impact changes in technological environment on their stock return volatility. Using three distinct methodologies we detect significant increase idiosyncratic and total volatility when firm initiates eCommerce. Interestingly, this observed only firms that moved online post-June 1998, period growth reached critical mass. We find attributable product markets, specifically increased demand uncertainty, resulting from new technology-driven channel. also highest retailers followed by manufacturers service firms. Relevant controls rule out firm-specific characteristics as well market microstructural factors possible explanatory variables. Our results provide strong evidence real activity within its highlight importance understanding innovations risk-return profiles.