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School of Business | Department of Finance | Finance | 2011
Thesis number: 12611
Does the stock market fully value intangibles? - Brands and global equity prices
Author: Vesanen, Virva
Title: Does the stock market fully value intangibles? - Brands and global equity prices
Year: 2011  Language: eng
Department: Department of Finance
Academic subject: Finance
Index terms: rahoitus; financing; osakemarkkinat; stock markets; brandit; brands; yrityksen arvo; company valuation; aineeton omaisuus; immaterial property
Pages: 97
Full text:
» hse_ethesis_12611.pdf pdf  size:2 MB (1416150)
Key terms: brands; brand value; brand ranking list; brand stocks; intangible assets; global equity prices; excess returns

The purpose of the study is to examine the relationship between brands and stock returns. I study the historical stock performance of global brand stocks, and test whether strong brands outperform the market index. A company is considered a brand stock if it is included in the annually published Interbrand Global Top 100 Brands ranking list. I also investigate whether numeric brand values assigned by Interbrand have an effect on the brand portfolio return.


The data set consists of all the publicly listed brand owner firms included in the Interbrand Global Top 100 Brands ranking list during 2001-2009. The monthly returns are calculated for a market value-, equal- and brand value-weighted global brand portfolio and analyzed statistically with the CAPM and Fama-French three factor model. The sample is then split into North America, Europe and Asia portfolios to uncover geographical performance differences.


The results suggest that brand stocks behave differently in North America than in Europe and Asia. The North America brand portfolio generates a significantly positive risk-adjusted alpha, which holds for different portfolio weighting methods and controlling for outliers. This result is in line with prior research results. However, results for the Europe and Asia portfolios lack significance and no evidence for outperformance is found. In addition, I find that brand value-weighting does not enhance excess returns, but on the contrary, diminishes the alpha. Findings suggest that numeric brand values may not be accurate after all, and that the stock market seems to assimilate brands better in Europe and Asia than in North America. Thus, future research should address the reasons causing excess returns of American brands.

KEYWORDS: Brand, brand value, brand ranking list, brand stocks, intangible assets, global equity prices, excess returns
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