Company Intangibles: Creation vs Absorption

21 Pages Posted: 25 Jan 2014

See all articles by Marina Oskolkova

Marina Oskolkova

National Research University Higher School of Economics

Petr Parshakov

National Research University Higher School of Economics

Date Written: December 31, 2013

Abstract

In the era of the knowledge economy intangibles are recognized by investors as pivotal value drivers. Previous research of portfolio forming methods based on intangibles is limited by taking into account only the quantity of intangibles. We propose a tool to select companies able to create knowledge (in contrast to the absorption of knowledge), which is a quality of intangibles. To test whether these abilities are results of skill we implement a bootstrap procedure. It shows that only 22% of companies have the skills to create knowledge, but all of them are characterized by positive results of knowledge creation. To show the practical implications of the proposed approach selected companies are combined in a portfolio. This portfolio demonstrates a higher cumulative return, Sharpe ratio and drawdown than S&P500. We also find the increasing importance of intangibles for investors during the crisis. While exogenous shocks influenced both creators and absorbers, we found that intangibles create an obstacle to a sharp drop of market value.

Keywords: intangibles, portfolio, bootstrap procedure, crisis

JEL Classification: G11

Suggested Citation

Oskolkova, Marina and Parshakov, Petr, Company Intangibles: Creation vs Absorption (December 31, 2013). Higher School of Economics Research Paper No. WP BRP 25/FE/2013, Available at SSRN: https://ssrn.com/abstract=2383983 or http://dx.doi.org/10.2139/ssrn.2383983

Marina Oskolkova (Contact Author)

National Research University Higher School of Economics ( email )

Myasnitskaya street, 20
Moscow, Moscow 119017
Russia

Petr Parshakov

National Research University Higher School of Economics ( email )

Myasnitskaya street, 20
Moscow, Moscow 119017
Russia

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