Intangible factor and idiosyncratic volatility puzzles

Elsevier BV
Publication Type:
Journal Article
Finance Research Letters, 2020, 34, pp. 101403-101403
Issue Date:
Filename Description Size
1-s2.0-S154461231930875X-main.pdf1.15 MB
Adobe PDF
Full metadata record
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.
Please use this identifier to cite or link to this item: