Intangible factor and idiosyncratic volatility puzzles

Li, X; Hou, K; Zhang, C

Intangible factor and idiosyncratic volatility puzzles

Li, X Hou, K Zhang, C

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Publisher:: Elsevier BV
Publication Type:: Journal Article
Citation:: Finance Research Letters, 2020, 34, pp. 101403-101403
Issue Date:: 2020-05-01

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Field	Value	Language
dc.contributor.author	Li, X
dc.contributor.author	Hou, K
dc.contributor.author	Zhang, C
dc.date.accessioned	2021-06-15T23:23:53Z
dc.date.available	2021-06-15T23:23:53Z
dc.date.issued	2020-05-01
dc.identifier.citation	Finance Research Letters, 2020, 34, pp. 101403-101403
dc.identifier.issn	1544-6123
dc.identifier.uri	http://hdl.handle.net/10453/149540
dc.description.abstract	In this paper, we explore whether intangible capital (IC) can help explain idiosyncratic volatility puzzles. The underlying assumption is that firms produce and accumulate IC as part of their normal operations. Investments in IC can either raise a company's future ability to produce or lower its cost of production. The applied model finds empirical support for the hypothesis that IC can help explain idiosyncratic volatility puzzles, especially for firms with higher IC-to-total asset ratios. This paper contributes to existing literature on idiosyncratic volatility puzzles from an IC investment perspective and provides implications for IC on stock markets.
dc.language	en
dc.publisher	Elsevier BV
dc.relation.ispartof	Finance Research Letters
dc.relation.isbasedon	10.1016/j.frl.2019.101403
dc.rights	info:eu-repo/semantics/closedAccess
dc.subject	1502 Banking, Finance and Investment
dc.subject.classification	Finance
dc.title	Intangible factor and idiosyncratic volatility puzzles
dc.type	Journal Article
utslib.citation.volume	34
utslib.for	1502 Banking, Finance and Investment
utslib.copyright.status	closed_access	*
dc.date.updated	2021-06-15T23:23:52Z
pubs.publication-status	Published
pubs.volume	34

Abstract:

In this paper, we explore whether intangible capital (IC) can help explain idiosyncratic volatility puzzles. The underlying assumption is that firms produce and accumulate IC as part of their normal operations. Investments in IC can either raise a company's future ability to produce or lower its cost of production. The applied model finds empirical support for the hypothesis that IC can help explain idiosyncratic volatility puzzles, especially for firms with higher IC-to-total asset ratios. This paper contributes to existing literature on idiosyncratic volatility puzzles from an IC investment perspective and provides implications for IC on stock markets.

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http://hdl.handle.net/10453/149540