Intangible to asset growth and the cross-section of returns

• Autor(a) principal: Hildebrandt, Julius
• 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
• 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

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.