Intangible Capital

Download the data from GitHub 

Please kindly use the following citations: 

“Organization Capital and the Cross-Section of Expected Returns”  (with Dimitris Papanikolaou.)

Amundi Smith Breeden First Place Paper Award 2013.

Journal of Finance, August 2013, 1365-1406.

The UCLA Anderson Blog provides a general audience summary. 

We develop a model in which the outside option of the key talent determines the share of firm cash flows that accrue to shareholders. This outside option varies systematically and renders firms with high organization capital riskier from the shareholders' perspective. We find that firms with more organization capital have risk adjusted returns that are 4.7% higher than firms with less organization capital.

@article{eisfeldt2013organization,

  title={Organization capital and the cross-section of expected returns},

  author={Eisfeldt, Andrea L and Papanikolaou, Dimitris},

  journal={The Journal of Finance},

  volume={68},

  number={4},

  pages={1365--1406},

  year={2013},

  publisher={Wiley Online Library}

}

"The Value and Ownership of Intangible Capital" (with Dimitris Papanikolaou.)

American Economic Review, Papers and Proceedings, May 2014, 189-194.

We use a simple model of the sharing rule between key labor inputs and capital owners, along with accounting data, to measure the fraction of the US capital stock which is owned by key labor and thus missing from book and market values.

@article{eisfeldt2020intangible,

  title={Intangible value},

  author={Eisfeldt, Andrea L and Kim, Edward and Papanikolaou, Dimitris},

 journal={Critical Finance Review},

  year={forthcoming},

}

"Intangible Value" with Edward Kim and Dimitris Papanikolaou. (Critical Finance Review 2022.  Volume 11: No. 2 pp. 299-332.)

Featured in Barrons, Anderson Review, Vox EU, Bank of America Securities Scientific Insights January 2021, NBER Home Page Fall 2020.

Data on github.

Future Proof Video on YouTube (Intangible Value discussed starting around minute 10)

Intangible assets are absent from traditional measures of value, despite their very large (and growing) importance in firms' capital stocks. As a result, the fundamental anchor for value that uses book assets is mismeasured. We propose a simple improvement to the classic value factor (HMLFF) proposed by Fama and French (1992, 1993). Our intangible value factor, HMLINT, prices assets as well as or better than the traditional value factor but yields substantially higher returns. This outperformance holds over the entire sample, as well as in more recent decades in which value has underperformed. We show that this is likely due to the intangible value factor sorting more effectively on productivity, profitability, financial soundness, and on other valuation ratios such as price to earnings or price to sales.

@article{eisfeldt2014value,

  title={The value and ownership of intangible capital},

  author={Eisfeldt, Andrea L and Papanikolaou, Dimitris},

  journal={American Economic Review},

  volume={104},

  number={5},

  pages={189--194},

  year={2014},

  publisher={American Economic Association 2014 Broadway, Suite 305, Nashville, TN 37203}

}