This chapter discusses measure of intangible risk. It provides evidence that important differences exist between the risks associated with investments in traditional measured capital and those associated with intangible capital. This chapter also reproduces the present-value approximation used in the asset pricing literature and applies it to define a long-run measure of risk as a discounted impulse response. It evaluates the application of the vector autoregressive (VAR) characterizations to estimate the dividend-risk measures.
Keywords: intangible risk, investments, measured capital, intangible capital, present-value approximation, asset pricing, discounted impulse response, vector autoregressive, dividend-risk measures