Market Overreaction to Intangible Information

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Published: Jul 25, 2009
DOI: https://doi.org/10.12660/rbfin.v7n2.2009.1257
Keywords:
overreaction intangibility risk returns pricing

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Carlos Marcelo Lauretti
Universidade Presbiteriana Mackenzie
Eduardo Kazuo Kayo
Universidade Presbiteriana Mackenzie
Emerson Fernandes Marçal
Universidade Presbiteriana Mackenzie

Abstract

Academic studies have shown that returns show reversion effects, which has often been explained as market overreaction to firms past performance. Other studies have shown that future returns are positively related to book-to-market index (B/M), which has been suggested as a proxy for risk factors omitted by CAPM classic model. Both evidences have been widely used in investment strategies. More recent studies in the U.S. market showed that these observations stem from the same phenomenon: the overreaction to the intangible information, that is, information that is not present in accounting performance statements,

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How to Cite
Lauretti, C. M., Kayo, E. K., & Marçal, E. F. (2009). Market Overreaction to Intangible Information. Brazilian Review of Finance, 7(2), 215–236. https://doi.org/10.12660/rbfin.v7n2.2009.1257
Issue
Vol. 7 No. 2 (2009)
Section
Long Paper

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