The Role of Intangible Investment in Predicting Stock Returns: Six Decades of Evidence
研究利用与Fama-French因子正交的无形资产强度因子，比较1963-1992年和1993-2022年两个时期无形资产投资对股票回报的预测能力，发现后期预测力显著增强，且对无形资产密集型公司而言，无形资产投资是主要预测因子。
ABSTRACT Using an intangible intensity factor that is orthogonal to the Fama–French factors, we compare the role of intangible investment in predicting stock returns over the periods 1963–1992 and 1993–2022. For 1963–1992, intangible investment is weak in predicting stock returns, but for 1993–2022, the predictive power of intangible investment becomes very strong. Intangible investment has a significant impact not only on the MTB ratio (Fama–French high minus low [HML] factor) but also on operating profitability (OP) (Fama–French robust minus weak [RMW] factor) when forecasting stock returns from 1993 to 2022. For intangible asset‐intensive firms, intangible investment is the main predictor of stock returns, rather than MTB ratio and profitability. Our evidence suggests that intangible investment has become an important factor in explaining stock returns over time, independent of other factors such as profitability and MTB ratio.