Many index providers claim that the book-to-price ratio is no longer a sufficient descriptor of the value factor. They argue that it has become outdated because reported book value ignores investments into intangible assets. As a solution, they propose including other valuation ratios, such as earnings-to-price, sales-to-price, cash flow-to-price, or dividend yield. However, this solution overlooks a superior alternative: Intangible capital can be estimated and added to the book value. In this article, the authors compare these alternative solutions. Beyond a naïve analysis of performance, they ask (1) whether improvements persist when considering implicit exposure to other factors and (2) whether they align with a risk-based explanation for the value factor. The authors show that including unrecorded intangibles in the book value increases the value premium and aligns with risk-based explanations. By contrast, other valuation ratios do not add investment value beyond picking up implicit exposure to factors other than value. Such valuation ratios also fail to improve the alignment of value strategies with risk-based explanations. TOPICS: Factor-based models, style investing, analysis of individual factors/risk premia Key Findings • Intangibles are largely ignored when using book-to-price as a value factor proxy. Two different remedies have been proposed: using alternative valuation ratios or adjusting the book value to include intangibles. • Alternative valuation ratios do not add investment value beyond picking up implicit exposures to other factors. The intangible adjustment, however, does add investment value for multifactor investors. • The intangible-adjusted book-to-price factor aligns well with a risk-based explanation for the value premium, whereas some alternative valuation ratios fail to pass this hurdle.

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无形资本和价值因素：您的价值定义刚刚过期吗？

许多索引提供者声称，市净率不再是价值因素的充分描述。他们认为这已经过时了，因为报告的账面价值忽略了对无形资产的投资。作为解决方案，他们建议包括其他估值比率，例如收益/价格，销售/价格，现金流/价格或股息收益率。但是，此解决方案忽略了一个更好的选择：可以估计无形资本并将其添加到帐面价值中。在本文中，作者比较了这些替代解决方案。除了简单的绩效分析外，他们还问（1）在考虑隐性暴露于其他因素时，改进是否持续存在；（2）是否与基于风险的价值因素解释保持一致。作者表明，账面价值中包含未记录的无形资产会增加价值溢价，并与基于风险的解释保持一致。相比之下，其他估值比率除了增加对价值以外的因素的隐性敞口外，不会增加投资价值。这样的估值比率也无法改善价值策略与基于风险的解释的一致性。主题：基于因子的模型，样式投资，单个因子/风险溢价的分析主要发现•当使用按价比价作为价值因子代理时，无形资产在很大程度上被忽略。已经提出了两种不同的补救措施：使用替代估值比率或调整账面价值以包括无形资产。•替代估值比率不会增加对其他因素的隐性敞口，而不会增加投资价值。但是，无形调整 确实为多因素投资者增加了投资价值。•无形调整后的市账率与价格溢价的基于风险的解释非常吻合，而某些替代估值比率却未能克服这一障碍。