Speaker: Dr. 靳馥境 (Fujing Jin)

Title: Intangible Assets Aligned: In Search of Return Predictability

Schedule: Dec 18, 3:00-4:30PM

Location: 诚明楼 (Chengming Hall), Rm 315

Introduction: 靳馥境，北京交通大学经济管理学院金融系副教授、系副主任，博士毕业于中央财经大学和澳大利亚麦考瑞大学。研究兴趣包括：实证资产定价、公司金融和金融科技等，研究成果发表（含录用）在《经济研究》《管理科学学报》《管理评论》《科研管理》《Accounting & Finance》《International Review of Financial Analysis》等期刊，主持国家自然科学基金青年项目1项、中国博士后科学基金面上项目1项。曾获得第六届中国优选法统筹法与经济数学研究会量化金融与保险分会学术年会优秀论文、第五届PwC 3535年度最佳论文提名奖、第十四届中国优选法统筹法与经济数学研究会青年论坛推荐论文、第十九届金融工程学年会优秀论文二等奖、2019年财务管理与公司治理会议最佳论文（澳大利亚）等。

Abstract: We construct an aggregate measure related to intangible assets, I-SCORE, from 10 firm characteristics using the partial least squares approach. I-SCORE is positively related to future earnings, intangible investments, and expected profitability. We show that firms with high I-SCOREs generate significantly higher future returns than those with low I-SCOREs. I-SCORE’s predictive ability remains robust after controlling for innovation- and R&D-related factors, as well as other well-known predictors and intangible-related characteristics. The positive relationship between I-SCORE and future returns is stronger for firms with higher financial constraints. Our findings suggest that investor inattention and analyst forecast errors contribute to the premium generated by I-SCORE, but it cannot be explained by investor sentiment.