Asset tangibility, industry representation and the cross section of equity returns

Title: Asset tangibility, industry representation and the cross section of equity returns
Creator: Docherty, Paul; Chan, Howard; Easton, Steve
Relation: 23rd Australasian Finance and Banking Conference, 2010. Proceedings of the 23rd Australasian Finance and Banking Conference 2010 (Sydney 15-17 December, 2010)
Publisher Link: http://dx.doi.org/10.2139/ssrn.1658230
Publisher: University of New South Wales, Australian School of Business
Resource Type: conference paper
Date: 2010
Description: Recent theory relates expected returns and covariant risk to the investment decisions of a firm. The irreversible nature of physical assets-in-place results in them being riskier than growth options across certain stages of the business cycle. Using the Australian accounting environment, this paper tests the relationship between asset tangibility and returns within the Fama and MacBeth (1973) framework. Asset tangibility is found to be priced in the cross-section of equity returns, and this relationship is most evident in the materials industry, which is characterised by irreversible, firm-specific assets. These results persist after controlling for the Fama and French (1992) factors.
Subject: asset pricing; cross-section; equity returns; risk; tangibility of assets
Identifier: http://hdl.handle.net/1959.13/935481
Identifier: uon:12072
Identifier: ISBN:9780987312723
Language: eng
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