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Intangible to asset growth and the cross-section of returns
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| 1.43 MB | Adobe PDF |
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Resumo(s)
Intangible assets are despite their increasing importance often omitted in factor investing
approaches. I propose an extension to the asset growth factor (Cooper, Gulen, and Schill 2008)
by building the intangible-to-asset growth factor based on quarterly fundamental data.
Intangible assets are estimated based on a perpetual inventory method to flows of selling,
general, and administrative expenses (Eisfeldt and Papanikolaou 2014). I show that long, and
long-short portfolios build according to the intangible-to-asset growth factor underperform the
market benchmark. Only the long-short strategy exhibits some diversification potential for a
portfolio due to its low volatility.
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Financial markets Us stock market Performance analysis Modern portfolio theory Portfolio construction Intangible assets Asset growth