Asset tangibility, industry representation and the cross section of equity returns

作者：Docherty Paul^*; Chan Howard; Easton Steve

来源：Australian Journal of Management, 2011, 36(1): 75-87.

DOI：10.1177/0312896211399200

• asset pricing
• cross-section
• industry
• tangibility of assets

Recent theory relates expected returns and covariant risk to the investment decisions of a firm across certain stages of the business cycle. Using the Australian accounting environment that provides a wider scope for the capitalisation of intangible assets compared with the United States, this paper tests the relationship between asset tangibility and returns within the Fama and MacBeth (1973) framework. A relationship is found to exist between asset tangibility and the cross-section of equity returns. This relationship is most evident in the materials industry, which is characterised by irreversible, firm-specific assets. These results persist after controlling for firm characteristics that Fama and French (1992) show are related to returns, although the effect is largely driven by microcap stocks.

• 出版日期2011-4