Empirical Relevance of Brand Value and Realizability of Excess Return

要約

This research investigates the relevance between brand value and stock price to examine discloser system for investors, and we obtain two findings as follows. First, the brand value calculated from the model developed by the Committee on Brand Valuation of Ministry of Economy, Trade and Industry in Japan, has additional explanatory power to net asset and abnormal earnings. Second, we assume 3 variables (net asset, abnormal earnings and brand value) to measure firms’ intrinsic value and make two portforio (under-value and over-value) selected by the model. After all this investment strategy makes excess return over average of the market. These results suggest that valuable brand information to the investors should be included in disclosure system in some way.

Keywords: Brand, Intellectual Capital, Security Pricing