IC-based investments during the crisisMarina Oskolkova

The research is carried out in the framework of "Science Foundation HSE" program, grant № 13-05-0021

2nd International Summer School on Intellectual Capital National Research University Higher School of Economics - Perm

Portfolio forming

Market value

Tangible assets

Macroeconomics’ factors

Industry trends

Intellectual capital

? How to measure

? What is the growth potential

? Is it the enhancer of traditional resources

2nd International Summer School on Intellectual Capital National Research University Higher School of Economics - Perm

Research question

How an investor can determine market value growth potential on the base of present performance of

intellectual resources?

2nd International Summer School on Intellectual Capital National Research University Higher School of Economics - Perm

Literature analysis

• Ellis, Jarboe, 2010

• Jagannathan, Wang, 1996

• Lev, Sougiannis, 1999,Chan et al., 2001, Chambers et al., 2002

Intangibles

Human capital

R&D

2nd International Summer School on Intellectual Capital National Research University Higher School of Economics - Perm

How to measure IC outcome?

M/B ratioIC research Stock market research

• Empirical evidence

• Theoretical proof

• verification the positive relationship between B/M ratio and stock return

2nd International Summer School on Intellectual Capital National Research University Higher School of Economics - Perm

Research methodology

Low value of M/B

Intellectual value drivers

Return, Sharpe coefficient, etc.

2nd International Summer School on Intellectual Capital National Research University Higher School of Economics - Perm

Research methodology

1. Intellectual value drivers determining

2. Portfolio formation

3. Portfolio investment attractiveness testing

To determine IC proxies connected with M/B

To determine IC proxies connected with M/B

To implement “intellectual filters” and M/B filter

To implement “intellectual filters” and M/B filter

Portfolio comparisonsPortfolio comparisons

2nd International Summer School on Intellectual Capital National Research University Higher School of Economics - Perm

Intellectual drivers

• Labour force qualification

• Labour productivity

• Computer resources and infrastructure

• R&D expenses

• Number of patents

• Advertising expenses

• Ownership structure

• Environmental innovativeness

9

1. Формирование системы «Sample »

2004 20112005 2006 2007 2008 2009 2010

8 sets of potentially profitable companies

2nd International Summer School on Intellectual Capital National Research University Higher School of Economics - Perm

Sample analysis

2nd International Summer School on Intellectual Capital National Research University Higher School of Economics - Perm

The implementation of filtersYear Number of companies

2004 15

2005 28

2006 25

2007 22

2008 30

2009 20

2010 20

2011 19

2nd International Summer School on Intellectual Capital National Research University Higher School of Economics - Perm

Further research

• To use Bloomberg data in order to calculate

Sharpe coefficient

• To compare formed portfolio with benchmarks:

MSCI Europe, M/B-portfolio

• To analyze 95 % confidence intervals