Intangibles Intensity in 10-K Reports
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Is Intangibles Talk Informative about Future Returns? Evidence from 10-K Filings
David Alexander; Amir Hosseini; Anup Srivastava
- CAUniversity of Calgary
- ?Haskayne School of Business, University of Calgary
- ?University of Calgary - Haskayne School of Business
- University of Warwick
- ?University of Warwick - Warwick Business School
Strategy in a nutshell
This strategy invests in U.S. stocks by analyzing the frequency of intangible-related words in annual 10-K filings. Firms with high intangible talk are bought, while those with low intangible talk are shorted, using yearly rebalancing.
Economic rationale
The rationale is that intangible-related disclosures capture valuable signals not explained by traditional risk factors. Evidence shows these signals deliver superior returns, supporting the mispricing hypothesis and highlighting the growing importance of intangibles in valuation.
Backtest performance
Annualised return3.61%
Volatility12.38%
Sharpe ratio0.29