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：成人直播新楼217教室

摘要：We augment a q-theory model with intangible assets where investments in intangible

assets 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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