Inferring the Value of Intangible Assets

This paper examines whether financial statement analysis can be effective in inferring the intangible value of firms.

Author(s):

Georgios Angelopoulos

Athens University of Economics and Business

Daniel Giamouridis

Research Associate, EDHEC-Risk Institute

Orestes Vlismas

Athens University of Economics and Business

We measure the intangible value by means of a firm’s Intellectual Capital, which encompasses the intangible assets and the organizational knowledge of a firm that are not reported directly by financial statements. Our analysis decomposes Intellectual Capital into its three primary components: Human Capital, Structural Capital, and Relational Capital. We study each component separately and create an aggregate index, the IC_SCORE, which classifies firms relative to their Intellectual Capital. We find that the IC_SCORE is a significant predictor of the future cross-section of equity returns. Firms with high Intellectual Capital outperform firms with low Intellectual Capital for up to two years in the future. A longshort strategy based on the IC_SCORE earns significant excess returns of the magnitude of over a minimum of 0.84 percent per month. The results are robust for alternative risk adjustment procedures and in partitions of size and book-to-market.
Pdf
Inferring the Value of Intangible Assets...
(-1.00 B)
Type: Working paper
Date: le 05/03/2012
Extra information : For more information, please contact EDHEC Research and Development Department [ research@drd.edhec.edu ]
Research Cluster : Finance

See Also

How To: 8 tips for choosing your MBA
News
- 08-03-2019
Embarking on an MBA can be life-changing. It’s also an investment on many levels; you’...
European Excellence and Make an Impact Scholarships available for September 2019 Intake
News
- 07-03-2019
Two New Scholarship Programmes for 2019 EDHEC Business School has added two new Global...
Paper co-authored by Lionel Martellini and Vincent Milhau wins the 20th Annual Bernstein Fabozzi/Jacobs Levy Award for Outstanding Article from the Journal of Portfolio Management
News
- 04-03-2019
The paper, entitled "Proverbial Baskets Are Uncorrelated Risk Factors! A Factor-Based...
One life, one journey - Hard work and dedication pay off
News
- 04-03-2019
Temitope Ayorinde, a 2018 Master in Management, Business Management graduate, left his...