TY  - JOUR
AU  - Daniel,Kent
AU  - Titman,Sheridan
TI  - Market Reactions to Tangible and Intangible Information
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 9743
PY  - 2003
Y2  - June 2003
UR  - http://www.nber.org/papers/w9743
L1  - http://www.nber.org/papers/w9743.pdf
N1  - Author contact info:
Kent D. Daniel
Columbia Business School
3022 Broadway, Uris Hall 709
New York, NY 10027
Tel: 212-854-4579
E-Mail: kd2371@columbia.edu

Sheridan Titman
Finance Department
McCombs School of Business
University of Texas at Austin
Austin, TX 78712-1179
Tel: 512/232-2787
Fax: 512/471-5073
E-Mail: titman@mail.utexas.edu
AB  - 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.
ER  -