Market Reactions to Tangible and Intangible Information

@article{Daniel2001MarketRT,
  title={Market Reactions to Tangible and Intangible Information},
  author={Kent D. Daniel and Sheridan Titman},
  journal={Behavioral \& Experimental Finance eJournal},
  year={2001}
}
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… 
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