题 目：Intangible Assets and Cross-Sectional Stock Returns: Evidence from

Structural Estimation

报告人：Erica X.N. Li （University of Michigan）

时 间：6月22日（周二）10:00-11:30am

地 点：伟易博新楼217课堂

摘 要：We augment a q-theory model with intangible assets where investments in intangibleassets incur adjustment costs and the accumulation of intangible assets leads to investment-specific technological change. The key parameters of the model are estimated using cross-sectional return data and the Generalized Method of Moments (GMM). Our results show that the intangible-assets-augmented q-theory model explains significantly better the value premium and the return differences among firms with different R&D intensities than the q-theory model with only tangible assets. Based on the theoretical model, we construct a new measure of R&D intensity, defined as the ratio of R&D expenditure to intangible asset. We show that firms with higher R&D intensity underperform firms with lower R&D intensity by 11 percent per annum, which is opposite of what the previous literature finds. Adjustment cost is estimated to be convex in intangible investments and is a more important determinant of cross-sectional stock returns than the investment-specific technological change effect. The magnitude of the adjustment costs of intangible investments is much larger than that of tangible investments, implying higher diffculty of rapid accumulation of intangible assets compared to tangible assets. This finding indicates that having a superior history of investments in intangible asset is crucial for firms to sustain their comparative advantages and provides a rationale for the higher persistence of R&D investments than the persistence of tangible investments observed in the data.

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