时间：2015年3月15日（周二）13：30－15：00
地点：北大国家发展研究院 朗润园 万众楼小教室
主持人：霍德明 王敏 赵波
主讲人：Nan Li (李楠)

题目：Measuring Intangible Capital with Uncertainty

摘要：Intangible capital has arguably become an important component of corporate value. However, it is still an open question whether uncertainty associated with investment in intangible capital is higher or lower than physical capital. We estimate the value of intangible capital in a dynamic stochastic general equilibrium model that features capital adjustment costs, investment-specific technological progress and recursive utility. We use the perturbation method up to second order to solve the model and perform Bayesian estimation using particle filter. The unobserved times series of intangible capital is estimated through particle smoother. Data from US economy in the postwar period imply that corporations indeed have formed large amounts of intangible capital as Hall (2001) found. The implied expected return on investment in intangible capital is lower than that of physical capital, which implies that intangible-capital intensive firms have a lower expected return.

关键词：Intangible Capital; Tobin's q; Recursive Preference; Particle Filter; Smoother

主讲人简介：李楠，2014年8月加入上海交通大学安泰经济与管理学院任金融学副教授。2005年获得美国芝加哥大学经济学博士，1998年获得武汉大学经济学硕士，1995年获得武汉大学数学学士。2004年至2014年在新加坡国立大学商学院金融系担任助教授, 兼任新加坡国立大学风险管理研究中心以及房地产研究中心研究员。在Journal of Political Economy 等国际一流经济学刊物上发表过论文，并应邀为以下国际经济学期刊和金融学期刊审稿，Econometrica, Journal of Political Economy, Quarterly Journal of Economics, Review of Financial Studies, Journal of Money, Credit and Banking, Journal of Economic Dynamics and Control, Review of Economic Dynamics, The Review of Economics and Statistics, Quantitative Finance, Financial Review, Quarterly Review of Finance and Economics，International Review of Finance。并多次应邀担任国际会议FMA，Asian FMA, AsianFA，Singapore International Conference in Finance等会议的审稿人和论文评论人，也曾应邀担任香港科学基金评审专家。（简历见附件 NanLiCVacad ）