地点：腾讯会议，会议号396 538 213
讲座题目：Organizational Capital, Tobin's Q, and the Cross Section of Stock Returns
讲座摘要：I modify the adjustment cost function in Hou, Xue, and Zhang (2015) model to allow management to reduce adjustment costs by investing in organizational capital. The model implies that, when the expected productivity is held constant, the firms with productivity that is less prone to market risk should have higher organizational capital-adjusted asset growth (AAG), and at the same time, are valued higher by the investors, and therefore have lower expected returns. I find empirical support for this implied negative relationship between AAG and expected returns. An AAG factor mimicking portfolio that is long low AAG stocks and short high AAG stocks has significantly positive risk-adjusted return, with an annualized Fama-French 5-factor (FF5) alpha of 2.4\% (t=3.9) and Hou-Xue-Zhang 4-factor (HXZ4) alpha of 2.5\% (t=3.3). In the squared Sharpe ratio tests, AAG-augmented FF5 and HXZ4 models with AAG as an additional factor dominate FF5 and HXZ4 model respectively in the full sample period, and AAG-adjusted FF5 and HXZ4 models with CMA and IA replaced by AAG dominate FF5 and HXZ4 model respectively in the second half of the sample period from January 1996 to December 2020.