Jagannathanの直近のNBER共著論文をもう一丁。以下は、Wan-Chien Chiu（国立清華大）、Ravi Jagannathan（ノースウエスタン大）、Kevin Tseng（国立台湾大）による表題の論文（原題は「Franchise Value, Tobin’s Q, and Markups」、ungated(SSRN)版）の要旨。
We decompose the difference between a firm’s market value and book value into two components: reproducible intangible assets that can be created by competing firms through SG&A/R&D expenditures, and the residual denoted as franchise value which includes the value of transient-rents from capacity-adjustment-costs (Tobin’s Q), longer-lasting franchise rents, and potential market-price intrinsic-value differences. We estimate the parameters of the model for building reproducible intangible capital using 176,005 firm-years of data for nonfinancial firms that are in COMPUSTAT and CRSP databases during the period 1976-2020. The estimated depreciation rates for intangible assets created by capitalizing R&D and SG&A expenditures respectively, and the portion of SG&A that contributes to organizational capital, while consistent with the parameters used in the empirical literature, vary significantly across industries. Ceteris paribus, firms with higher franchise values face fewer product market threats and have higher markups, whereas firms with higher reproducible intangible assets face higher threats. Higher franchise value reduces the sensitivity of a firm’s investments with respect to total Tobin Q. Firms facing fewer product market threats, a measure of competitive advantage, experienced a larger increase in their franchise values due to increased globalization following China’s entry into WTO in 2002 which is consistent with theory.
（拙訳）
我々は、企業の市場価値と簿価との違いを2つの要素に分解した。競合企業が販売費及び一般管理費や研究開発費の支出を通じて創り出すことができる再生産可能な無形資産と、稼働能力調整コスト（トービンのQ）のもたらす一時的なレントの価値*1、長期に持続するフランチャイズのレント、および潜在的な市場価格と本質的価値の違いなどのフランチャイズバリューと称される残差である。我々は1976-2020年のCOMPUSTAT*2とCRSP*3データベースにある非金融企業の176,005の企業・年のデータを用いて、再生産可能な無形資本の構築についてのモデルのパラメータを推計した。研究開発費と販管費の支出をそれぞれ資本化することによって創り出された無形資産の減価償却率、および、組織資本に寄与する販管費の推計値*4は、これまでの実証研究で使われてきたパラメータと整合的であったが、業界によって値の大きな違いがあった。他の条件が等しければ、フランチャイズバリューが高い企業は、製品市場での脅威に直面することが少なく、マークアップも高い。一方、再生産可能な無形資産が多い企業は、多くの脅威に直面する。フランチャイズバリューが高いと、企業の投資の全体的なトービンのQへの感応度は小さくなる*5。競争上の優位性の指標である製品市場で直面する脅威が少ない企業は、2002年に中国がWTOに加盟した後のグローバル化の進展に伴い、理論と整合的に*6、フランチャイズバリューをより大きく増加させた。
*1:ungated版の導入部では「option value of assets in place due to adjustment costs and lead times associated with changing productive capacity (commonly referred to as the value of Q)」と説明している。またQ理論については、分析について説明した本文で「In classical Q-theory models, product markets are competitive with free entry, and the market values of assets deviate from their corresponding replacement values only due to capital-adjustment costs. Positive demand shocks will increase prices benefiting firms with assets already in place, resulting in the market value of such firms rising above their replacement values. An increase in the value of Q indicates shortage pricing, and a firm will thus invest to increase capacity to meet increased demand.」と解説している。
*2:cf. Compustat - Wikipedia。
*3:cf. Center for Research in Security Prices - Wikipedia。
*4:導入部からの引用：「In this paper, we develop a method for estimating the franchise value of firms based on information available from its financial statements. For that purpose, we assume that the book value of a firm’s assets reflects the replacement value of those assets. We then estimate the value of a firm’s intangible assets that do not appear on its balance sheet by capitalizing its R&D expenditures (investment in knowledge capital) and a fraction of its SG&A expenditures (investment in organization capital) and depreciating them. We refer to the knowledge and organization capital that we create in this manner as reproducible intangible assets, since they do not appear in a firm’s balance sheet. The franchise value of a firm, by definition, is the difference between its market value and the sum of its book value of its assets and its reproducible (hidden) intangible assets.」この箇所の脚注には「Griliches (1979), Mansfield (1980), and Nelson (1982) first propose the term “knowledge capital” in modeling the long-run productivity by incorporating knowledge capital. The knowledge capital is augmented by present R&D spending and the stock of knowledge that may depreciate. Lev (2000) and Hall (2001) first propose the term “organization capital.” 」とある。cf. Organizational capital - Wikipedia。
*5:上の注で引用したトービンのQ理論の解説の続きで、「However, when the firm enjoys economic rents, an increase in Q need not necessarily indicate an increase in investment opportunities. To see why, we consider an economy in which all electricity is supplied by hydel power. An increase in demand for electricity will cause the price of electricity to rise. A firm’s market value will also rise, resulting in a higher Q. However, there is no available method for the firm supplying hydel electricity to increase its capacity to meet increased demand. In fact, the increase in market value is entirely due to increased franchise economic rents, and the presence of franchise economic rents weakens the positive relation between investment and Q.」と記されている。
*6:本文では「U.S firms face more competition domestically from foreign firms, and foreign firms face more competition from U.S. firms in their respective home markets. That would suggest that U.S. firms with a competitive advantage would benefit more from the opening of markets, assuming that their competitive advantage in the U.S. market carries over to foreign markets. We should expect such firms to experience a larger increase in their franchise value following China’s entry into the WTO.」と説明している。
