IC-based investments during the crisis Marina Oskolkova The research is carried out in the framework...
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Transcript of IC-based investments during the crisis Marina Oskolkova The research is carried out in the framework...
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