Market reactions to tangible and intangible information

• 成果类型: Article
• 署名作者: Daniel, Kent; Titman, Sheridan
• 署名单位: Northwestern University; National Bureau of Economic Research; University of Texas System; University of Texas Austin
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2006.00884.x
• 发表日期: 2006
• 页码: 1605-1643
• 关键词: STOCK RETURNS; RISK; equity; earnings; equilibrium; performance; INVESTMENT; EFFICIENCY; anomalies; tests

摘要

The book-to-market effect is often interpreted as evidence of high expected returns on stocks of distressed firms with poor past performance. We dispute this interpretation. We find that while a stock's future return is unrelated to the firm's past accounting-based performance, it is strongly negatively related to the intangible return, the component of its past return that is orthogonal to the firm's past performance. Indeed, the book-to-market ratio forecasts returns because it is a good proxy for the intangible return. Also, a composite equity issuance measure, which is related to intangible returns, independently forecasts returns.