patent class peer spillover
What it checks
When a peer in our tech cluster has a patent surge, we go long because the innovation tailwind tends to lift the whole class over the next 1-6 months.
Mechanism
Firms in the same patent-tech cluster as a leader benefit when the leader patent intensity surges. Cross-firm innovation premium under-prices the second-order beneficiary.
Signal rule
TNIC peer basket patent_innovation_value 6m rolling, 36m z; +3m grant->price lag; z>1.0/1.5 -> LONG 30/63/126d.
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
tnic_peersHoberg-Phillips text-based industry classification peer lists (annual).
patent_innovation_valueKogan-Papanikolaou-Seru-Stoffman patent dollar-value series.
Expected edge
- Paper alpha
- 12-15%/yr top decile (own-firm)
- Paper window
- 1981-2008 (Hirshleifer-Hsu-Li)
12-15%/yr top decile (Hirshleifer-Hsu-Li 2013); cross-firm channel typically ~half.
Related families
patent innovation premiumAlt-DataPatent values inferred from 3-day stock reaction to USPTO grant. Firms with high value of recently granted patents (relative to market cap) outperform by ~3-5%/yr โ real options on growth the market under-prices until citations validate.
patent class driftAlt-DataCohen-Diether-Malloy 2013 RFS document that firms reallocating R&D / patent filings toward different technology classes earn 7-9% ann. abnormal returns over 1-2y. The market under-weights narrative pivots โ patent-class shifts signal a real business reorientation that sell-side estimates don't reflect in real time. We proxy class-pivot via the rolling z-score of KPSS monthly innovation-value (highly correlated with the class-entropy delta in the paper's appendix).
tnic momentum spilloverMomentumLee, Sun, Wang & Zhang (2023) RFS "Technology Spillovers and Cross-Predictability": the lagged 1-month return of a focal stock's TNIC-3 peer basket predicts the focal's next-month return. Sharpe 1.3, +9% annualised alpha after Fama-French 5. The signal is orthogonal to industry/sector momentum because TNIC peers cross industry boundaries (text-similarity, not SIC-similarity).
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