The author proposes an intangible-adjusted version of the B/M ratio to define value, which capitalizes the investments in knowledge capital and organizational capital that need to be treated as expenses in official financial statements. An example of an investment in knowledge capital is R&D, i.e. research and development.
The author finds that the intangible-adjusted B/M ratio outperforms the original ratio significantly, and also remained effective in recent decades. At Robeco’s quantitative research group, where we also like to think of ourselves as an asset to the firm rather than an expense, we are currently looking into this idea, and the initial results look promising indeed.
1 Park, H., 2019, ‘An Intangible-adjusted Book-to-market Ratio Still Predicts Stock Returns’, Critical Finance Review (forthcoming).
Onze onderzoekers publiceren veel whitepapers die zijn gebaseerd op hun eigen empirische onderzoek, maar ze kijken ook naar kwantitatief onderzoek dat door anderen is gedaan. David Blitz, hoofd Quant Equities Research, vertelt over opvallende externe papers.