Firms are increasingly collaborating with other firms, including their rivals, to improve their returns to innovation.  Although various benefits can accrue to firms that collaborate with their rivals, the literature remains silent concerning the financial benefit of horizontal collaboration in each innovation phase, i.e., initiation, development, and commercialization.  Moreover, the uncertainty surrounding the horizontal collaboration that influences financial returns will also be driven by the innovativeness of the product and the relative power of the rival firm, which may therefore influence returns to innovation across the phases.  Analysis of 831 announcements of innovations that involve horizontal collaboration over 12 years reveals that horizontal collaboration with competitors is profitable during the initiation phase but harmful during development and commercialization phases. Results further indicate that the innovativeness of the product attenuates damage at the commercialization phase yet reduces the benefits of horizontal collaboration at the initiation phase.  Moreover, results show that the rival’s market and technology power are differentially beneficial across innovation phases. Overall, results highlight important theoretical and pragmatic implications that would not be understood without examining the specific innovation phase.