- Title
- Asset tangibility, industry representation and the cross section of equity returns
- Creator
- Docherty, Paul; Chan, Howard; Easton, Steve
- Relation
- Australian Journal of Management Vol. 36, Issue 1, p. 75-87
- Publisher Link
- http://dx.doi.org/10.1177/0312896211399200
- Publisher
- Sage
- Resource Type
- journal article
- Date
- 2011
- Description
- 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.
- Subject
- asset pricing; cross-section; industry; tangibility of assets
- Identifier
- http://hdl.handle.net/1959.13/1051448
- Identifier
- uon:15292
- Identifier
- ISSN:0312-8962
- Rights
- The final, definitive version of this paper has been published in Australian Journal of Management, Vol 36, Issue 1, 2011 by SAGE Publications Ltd. / SAGE Publications, Inc., All rights reserved. © 2011
- Language
- eng
- Full Text
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|---|---|---|---|---|---|---|---|
| View Details Download | ATTACHMENT02 | Author final version | 328 KB | Adobe Acrobat PDF | View Details Download |