Market Overreaction to Intangible Information

Carlos Marcelo Lauretti (), Eduardo Kazuo Kayo () and Emerson Marçal
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Carlos Marcelo Lauretti: Universidade Presbiteriana Mackenzie
Eduardo Kazuo Kayo: FEA-USP

Brazilian Review of Finance, 2009, vol. 7, issue 2, 215-236

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,

Keywords: overreaction; intangibility; risk; returns; pricing (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2009
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