Intangible Risk

Lars Peter Hansen, John C. Heaton and Nan Li

in Measuring Capital in the New Economy

Published by University of Chicago Press

Published in print October 2005 | ISBN: 9780226116129
Published online February 2013 | e-ISBN: 9780226116174 | DOI:
Intangible Risk

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This chapter discusses measure of intangible risk. It provides evidence that important differences exist between the risks associated with investments in traditional measured capital and those associated with intangible capital. This chapter also reproduces the present-value approximation used in the asset pricing literature and applies it to define a long-run measure of risk as a discounted impulse response. It evaluates the application of the vector autoregressive (VAR) characterizations to estimate the dividend-risk measures.

Keywords: intangible risk; investments; measured capital; intangible capital; present-value approximation; asset pricing; discounted impulse response; vector autoregressive; dividend-risk measures

Chapter.  16377 words.  Illustrated.

Subjects: Econometrics and Mathematical Economics

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