Liao, Cunfei
[VerfasserIn]
;
Jiang, Fuwei
[Sonstige Person, Familie und Körperschaft];
Jin, Fujing
[Sonstige Person, Familie und Körperschaft];
Tang, Guohao
[Sonstige Person, Familie und Körperschaft]
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 10, 2020 erstellt
Beschreibung:
In this paper, we propose a comprehensive intangible assets-related measure, I-SCORE, for the purpose of explaining the cross-sectional returns in the U.S. stock market. We apply the partial least squares method to construct I-SCORE from 15 firm characteristics. The results show that the firms receiving the high I-SCORE generate substantially higher future returns than those with the low I-SCORE. The predictability of I-SCORE is robust after controlling for innovation- and R&D-related factors, along with some famous asset pricing factors. I-SCORE is positively related to the future profitability and cash flow growth. The positive relation between I-SCORE and future returns is stronger for the firms with higher limits to arbitrage and higher valuation uncertainty, which is consistent with behavioral mispricing explanations. The risk-based theory also explains the corresponding investment strategy, since firms with higher cash flow risk have significantly stronger I-SCORE premium