Measuring Intangible Capital with Market Prices

Ewens, Michael; Peters, Ryan H.; Wang, Sean

doi:10.3386/w25960

Cited by 43 publications

(22 citation statements)

References 54 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…Stock Returns -Robustness to Central Bank Information Shocks fromJarocinski and Karadi (2020) and Intangible Capital Measure fromEwens et al (2019) This table documents robustness tests for the baseline Table2. Panel A decomposes changes in the Fed Funds futures into interest rate shocks (MPshockSign) and central bank information shocks (CBIshockSign), as inJarocinski and Karadi (2020).…”

mentioning

confidence: 74%

Monetary Policy and Intangible Investment

Döttling

Ratnovski

2020

SSRN Journal

View full text Add to dashboard Cite

show abstract

mentioning

confidence: 74%

Monetary Policy and Intangible Investment

Döttling

Ratnovski

2020

SSRN Journal

View full text Add to dashboard Cite

show abstract

“…Their measure is annual, so we interpolate it linearly into a quarterly measure. In robustness, we use an alternative intangible capital stock estimate from Ewens et al (2019), who use acquisition prices to more accurately estimate depreciation rates and the share of SG&A expenditure that contributes to intangible capital formation, and obtain very similar results.…”

Section: Measuring Tangible and Intangible Investmentmentioning

confidence: 92%

“…Second, we replicate the baseline results using an alternative measure of firm intangible capital stock from Ewens et al (2019). This measure uses acquisition prices to better estimate industry-level intangible capital depreciation rates, and lets the share of SG&A expenditure that is counted towards intangible investment vary by industry.…”

Section: Robustnessmentioning

confidence: 94%

“…Intangible assets depreciate faster than tangible assets. The BEA estimates R&D capital depreciation rates to be 10-40% depending on the industry (Li, 2012), and Ewens et al (2019) estimate an average R&D capital depreciation rate of 32% based on the analysis of capital acquisition prices. This contrasts with an average tangible capital depreciation rate of under 10% in the BEA data.…”

Section: Borrowing Responsementioning

confidence: 99%

“…To test this prediction, we calculate for each firm the difference between intangible and tangible capital depreciation rates, which we call a firm's "depreciation gap". We use depreciation rates on tangible assets at industry level from the BEA Fixed Assets Tables 3.3 and 3.6, and depreciation rates on intangible assets-knowledge (R&D) capital and organizational (SG&A) capital-from Ewens et al (2019). The resulting depreciation gap measure varies from 6% to 40%, with a mean and median around 22% (see the summary statistics in Table 1).…”

Section: Borrowing Responsementioning

confidence: 99%

See 2 more Smart Citations

Monetary Policy and Intangible Investment

Döttling¹,

Ratnovski²

2020

IMF Working Papers

View full text Add to dashboard Cite

We contrast how monetary policy affects intangible relative to tangible investment. We document that the stock prices of firms with more intangible assets react less to monetary policy shocks, as identified from Fed Funds futures movements around FOMC announcements. Consistent with the stock price results, instrumental variable local projections confirm that the total investment in firms with more intangible assets responds less to monetary policy, and that intangible investment responds less to monetary policy compared to tangible investment. We identify two mechanisms behind these results. First, firms with intangible assets use less collateral, and therefore respond less to the credit channel of monetary policy. Second, intangible assets have higher depreciation rates, so interest rate changes affect their user cost of capital relatively less.

show abstract

The Puzzling Convergence of Intangible Investments

2022

View full text Add to dashboard Cite

Motivated by the rising prominence of intangibles, this paper explores whether there are common forces that drive intangible investments in the U.S. and the Euro area, in tandem with firm-specific characteristics. If such forces exist, there should be groups of firms (convergent clubs) for which the time-varying cross-sectional variance of intangible investments (scaled by total assets) declines over time. The empirical results indicate that there is a big convergent club in both economic areas, the sectoral composition of which is similar to that of the entire sample, an indication that the common forces are economy-wide and not sector-specific. Moreover, the country composition of the big club in the Euro area is also similar to that of the entire sample, an indication that they are not country-specific either. More puzzling, the evidence of common forces is stronger for the Euro area countries, despite their differing overall economic and financial-market conditions, and that their bank-based financial systems are less likely to finance intangible assets than the U.S. market-based one. The paper also used probit analysis to identify the common forces; but this analysis did not yield any firm results. Nevertheless, the main finding of the paper, itself a novel contribution to the rapidly growing literature on intangibles, suggests another angle to re-examine the existing empirical literature and identifies potential misspecification problems of related microeconomic studies. As such, it should be of interest to researchers, market participants, and to standard-setters and policymakers who base their decisions on empirical studies.

show abstract

Measuring Intangible Capital with Market Prices

Cited by 43 publications

References 54 publications

Monetary Policy and Intangible Investment

Monetary Policy and Intangible Investment

Monetary Policy and Intangible Investment

The Puzzling Convergence of Intangible Investments

Contact Info

Product

Resources

About