Market Reactions to Tangible And Intangible Information  

Oleh:

Titman, Sheridan ; Daniel, Kent

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 61 no. 4 (Agu. 2006), page 1605-1644.
Topik: tangibles; studies; securities markets; rates of return; regression analysis
Fulltext: p 1605.pdf (315.23KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

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 measure, which is related to intangible returns, independently forecasts returns.

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