Revisiting Asset Pricing Models: The Case for an Intangibles Factor
研究引入一个不同于组织资本的无形资产强度因子，发现该因子能强预测股票收益，并提升Fama-French五因子和q因子模型的解释力，使投资因子变得多余。
ABSTRACT In an increasingly knowledge‐based economy, intangible assets may be an important driver of firm performance and stock returns. We introduce an intangibles intensity factor (INT), distinct from the organization capital factor, and show that exposure to this factor strongly predicts stock returns, outperforming traditional factors. Integrating INT into the Fama–French five‐factor (FF5) and q‐factor models significantly enhances explanatory power across multiple tests and renders the investment factor redundant. An INT‐augmented five‐factor model (comprising market, size, profitability, momentum, and intangibles factors) outperforms the FF5 and q‐factor models in explaining a broad set of anomalies, highlighting the diminishing relevance of the book‐to‐market and investment factors.