The stock market value of research and development assets.

摘要

B. H. Hall (1993a, 1993b) reported a substantial drop in the market price of R&D investment relative to that of ordinary investment during the 1980s, particularly in the electronics and computing sector. In Chapter 1, we take another look at the valuation problem, using data on a large panel of manufacturing firms through 1998. Although we confirm the earlier decline in relative market values, we find that its magnitude is quite sensitive to methods of measurement and we propose some more robust methods for determining the hedonic price of corporate assets.;Chapter 2 proposes a new index of expected stock returns called the multi-asset beta. Multi-asset beta explicitly accounts for intangible capital such as accumulated research and development and advertising. Using multi-asset beta calculated from U.S. stock market data from 1973 to 1997, this study reports two findings. First, the expected stock return to intangible capital has increased for the last decade. Second, the intangible capital explains a substantial amount of the cross-firm variation in expected stock returns.;Chapter 3 proposes a simple model of R&D capital, and presents estimates of the model for publicly traded US manufacturing firms for the time period from 1981 to 1995. The focus of the chapter is on how the contribution of an asset to capital changes as the technology embodied in the asset ages. It is shown that the profile of such contribution is approximately geometric, and the geometric rate has been lowered in recent period.