Replication Data for : The role of intangible investment in predicting stock returns: Six decades of evidence

Using an intangible intensity factor that is orthogonal to the Fama–French factors, we compare the role of intangible investment in predicting stock returns over the periods 1963–1992 and 1993–2022. For 1963–1992, intangible investment is weak in predicting stock returns, but for 1993–2022, the predictive power of intangible investment becomes very strong. Intangible investment has a significant impact not only on the MTB ratio (Fama-French HML factor) but also on operating profitability (Fama-French RMW factor) when forecasting stock returns from 1993 to 2022. For intangible asset-intensive firms, intangible investment is the main predictor of stock returns, rather than MTB ratio and profitability. Our evidence suggests that intangible investment has become an important factor in explaining stock returns over time, independent of other factors such as profitability and MTB ratio.

本研究采用与法玛-弗伦奇因子（Fama-French factors）正交的无形资产强度因子，对比了1963—1992年与1993—2022年两个研究时段内，无形资产投资在股票收益预测中的作用。1963—1992年期间，无形资产投资对股票收益的预测能力较弱；而在1993—2022年，其预测能力显著增强。在1993—2022年预测股票收益时，无形资产投资不仅对市值账面比（MTB ratio，即法玛-弗伦奇HML因子）产生显著影响，还对营业利润率（即法玛-弗伦奇RMW因子）具有显著作用。对于无形资产密集型企业而言，无形资产投资是股票收益的核心预测因子，而非市值账面比与营业利润率。本研究证据表明，随着时间推移，无形资产投资已成为解释股票收益的重要独立因子，不受营业利润率、市值账面比等其他因子的影响。