Intangible to asset growth and the cross-section of returns
Autor(a) principal: | |
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Data de Publicação: | 2022 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10362/155634 |
Resumo: | 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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Intangible to asset growth and the cross-section of returnsFinancial marketsUs stock marketPerformance analysisModern portfolio theoryPortfolio constructionIntangible assetsAsset growthDomínio/Área Científica::Ciências Sociais::Economia e GestãoIntangible 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.Hirschey, NicholasRUNHildebrandt, Julius2023-07-21T11:46:36Z2023-01-102022-12-162023-01-10T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/155634TID:203311612enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:38:16Zoai:run.unl.pt:10362/155634Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:56:10.227371Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Intangible to asset growth and the cross-section of returns |
title |
Intangible to asset growth and the cross-section of returns |
spellingShingle |
Intangible to asset growth and the cross-section of returns Hildebrandt, Julius Financial markets Us stock market Performance analysis Modern portfolio theory Portfolio construction Intangible assets Asset growth Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
title_short |
Intangible to asset growth and the cross-section of returns |
title_full |
Intangible to asset growth and the cross-section of returns |
title_fullStr |
Intangible to asset growth and the cross-section of returns |
title_full_unstemmed |
Intangible to asset growth and the cross-section of returns |
title_sort |
Intangible to asset growth and the cross-section of returns |
author |
Hildebrandt, Julius |
author_facet |
Hildebrandt, Julius |
author_role |
author |
dc.contributor.none.fl_str_mv |
Hirschey, Nicholas RUN |
dc.contributor.author.fl_str_mv |
Hildebrandt, Julius |
dc.subject.por.fl_str_mv |
Financial markets Us stock market Performance analysis Modern portfolio theory Portfolio construction Intangible assets Asset growth Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
topic |
Financial markets Us stock market Performance analysis Modern portfolio theory Portfolio construction Intangible assets Asset growth Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
description |
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. |
publishDate |
2022 |
dc.date.none.fl_str_mv |
2022-12-16 2023-07-21T11:46:36Z 2023-01-10 2023-01-10T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10362/155634 TID:203311612 |
url |
http://hdl.handle.net/10362/155634 |
identifier_str_mv |
TID:203311612 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
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1799138147456516096 |