Intangible Capital in Factor Models

• 成果类型: Article
• 署名作者: Gulen, Huseyin; Li, Dongmei; Peters, Ryan H.; Zekhnini, Morad
• 署名单位: Purdue University System; Purdue University; University of South Carolina System; University of South Carolina Columbia; Tulane University; Michigan State University; Michigan State University's Broad College of Business
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2022.01261
• 发表日期: 2025
• 关键词: intangible investment/capital; Factors; factor models

摘要

The transition from a traditional manufacturing -based economy to a knowledge- and service -based economy over recent decades resulted in a considerable rise in intangible capital, most of which is not reported on companies' balance sheets. As a result, balance sheet -based valuation ratios, investment measures, and other firm characteristics that do not incorporate off -balance sheet (OBS) intangible capital suffer from significant measurement error problems. We incorporate a new measure of OBS intangible capital into firm characteristics, such as book to market, investment, and profitability, to address these measurement errors. These OBS intangible adjustments improve the performance of the Fama-French three- and five -factor models and the q -factor model, especially during recent decades. We further find that the value factor is no longer redundant in these empirical factor models.