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Market Reactions to Tangible and Intangible Information
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Market Reactions to Tangible and Intangible Information
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Journal Article
Market Reactions to Tangible and Intangible Information
2006
Overview
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.
Publisher
Blackwell Publishing Inc,Blackwell Publishers,Blackwell Publishers Inc
Subject
