Intangible Risk?

Measuring Capital in the New Economy, Carol Corrado, John Haltiwanger and Dan Sichel, editors, University of Chicago Press, 2005

43 Pages Posted: 19 Dec 2013

See all articles by Lars Peter Hansen

Lars Peter Hansen

University of Chicago - Department of Economics; National Bureau of Economic Research (NBER)

John Heaton

University of Chicago - Finance

Nan Li

Shanghai Jiao Tong University, Antai College of Economics and Management

Date Written: August 2005

Abstract

In this paper we reviewed two findings pertinent for using asset market data to make inferences about the intangible capital stock. We presented evidence familiar from the empirical finance literature that returns are heterogeneous when firms are grouped according to their ratio of market equity to book equity. This evidence suggests that there are important differences in the riskiness of investment in measured capital vis-à-vis intangible capital. This has potentially important ramifications for how to build explicit economic models to use in constructing measurements of the intangible capital stock.

Keywords: Intangible Risk, Value Premium, Adjustment Costs

JEL Classification: C11, E22, G12

Suggested Citation

Hansen, Lars Peter and Heaton, John C and Li, Nan, Intangible Risk? (August 2005). Measuring Capital in the New Economy, Carol Corrado, John Haltiwanger and Dan Sichel, editors, University of Chicago Press, 2005 . Available at SSRN: https://ssrn.com/abstract=2369212

Lars Peter Hansen

University of Chicago - Department of Economics ( email )

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National Bureau of Economic Research (NBER)

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John C Heaton

University of Chicago - Finance ( email )

5807 S. Woodlawn Avenue
Chicago, IL 60637
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Nan Li (Contact Author)

Shanghai Jiao Tong University, Antai College of Economics and Management ( email )

1954 Hua Shan Road
Shanghai Jiao Tong University
Shanghai, Shanghai 200030
China

HOME PAGE: http://www.nanlifinance.org/

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