Market Reactions to Tangible and Intangible Information / Kent Daniel, Sheridan Titman.

Format:

Book

Author/Creator:

Daniel, Kent.

Contributor:

National Bureau of Economic Research.

Titman, Sheridan.

Series:

Working Paper Series (National Bureau of Economic Research) no. w9743.

NBER working paper series no. w9743

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2003.

Summary:

We decompose stock returns into components attributable to tangible and intangible information. A firm's tangible return is the component of its return attributable to fundamental accounting-performance information, and its intangible return is the component which is orthogonal to this information. Our evidence indicates that intangible information reliably predicts future stock returns. However, in contrast to previous research, we find that tangible returns have no forecasting power. The premia associated with intangible information pose challenges for both traditional asset pricing models and models based on psychological factors.

Notes:

Print version record

June 2003.