Performance of Brandstars in Global Markets: Measuring Unmeasurables
30 Pages Posted: 26 Aug 2014 Last revised: 21 Jun 2017
Date Written: October 20, 2016
This paper examines a value creation of brand intangible on stock prices under existing (Carhart's Four-Factor Model) and a new asset pricing methodologies. The study produces several outcomes. First, a new model, which accounts the risks that are attributable to intangible assets, adds a significant explanatory power to the existing model. Second, an equal-weighted portfolio of “Top 100 Global Brands” list generates positive and significant abnormal returns over the benchmark. Third, the paper documents superiority of newcomers' portfolio and a failure of dropped firms' portfolio. Fourth, the analysis finds that the list ranking does not matter in terms of higher abnormal returns, which, in turn, implies only remarkable appreciations and depreciations in brand equity create a value on stocks. Fifth, the industrial analysis finds that a value creation of brand intangibles cannot be labelled to a specific industry, but it mostly occurs in sin, automotive, luxury and apparel, and technology industries. Whereas the regional analysis reveals a lesser efficiency of American stock market vis-a-vis European and Asian ones.
Keywords: Brand Value, Intangible Assets, Market Efficiency, Carhart Four-Factor Model, Four-factor Alpha, Abnormal Stock Returns
JEL Classification: G11, G15, G31
Suggested Citation: Suggested Citation