1. IC-based investments during the crisis Marina Oskolkova The research is carried out in the framework of "Science Foundation HSE" program, grant № 13-05-0021

2. 2 nd International Summer School on Intellectual Capital Portfolio forming Market value Tangible assets Macroecon omics’ factors Industry trends Intellectual capital ? How to measure ? What is the growth potential ? Is it the enhancer of traditional resources

3. 2 nd International Summer School on Intellectual Capital Research question How an investor can determine market value growth potential on the base of present performance of intellectual resources?

4. 2 nd International Summer School on Intellectual Capital Literature analysis Ellis, Jarboe, 2010 Jagannathan, Wang, 1996 Lev, Sougiannis, 1999, Chan et al., 2001, Chambers et al., 2002 Intangibles Human capital R&D

5. 2 nd International Summer School on Intellectual Capital How to measure IC outcome? M/B ratio IC research Stock market research Empirical evidence Theoretical proof verification the positive relationship between B/M ratio and stock return

6. 2 nd International Summer School on Intellectual Capital Research methodology Low value of M/B Intellectual value drivers Return, Sharpe coefficient, etc.

7. 2 nd International Summer School on Intellectual Capital Research methodology 1. Intellectual value drivers determining 2. Portfolio formation 3. Portfolio investment attractiveness testing To determine IC proxies connected with M/B To implement “intellectual filters” and M/B filter Portfolio comparisons

8. 2 nd International Summer School on Intellectual Capital Intellectual drivers Labour force qualification Labour productivity Computer resources and infrastructure R&D expenses Number of patents Advertising expenses Ownership structure Environmental innovativeness

9. 9 1. Формирование системы «Sample » 20042011200520062007200820092010 8 sets of potentially profitable companies 2 nd International Summer School on Intellectual Capital Sample analysis

10. 2 nd International Summer School on Intellectual Capital The implementation of filters YearNumber of companies 200415 200528 200625 200722 200830 200920 201020 201119

11. 2 nd International Summer School on Intellectual Capital Further research To use Bloomberg data in order to calculate Sharpe coefficient To compare formed portfolio with benchmarks: MSCI Europe, M/B-portfolio To analyze 95 % confidence intervals