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The information content of unexpected stock returns: Evidence from intellectual capital

Yi-Mien Lin, Chih-Chen Lee, Chin-Fang Chao and Chih-Liang Liu

International Review of Economics & Finance, 2015, vol. 37, issue C, 208-225

Abstract: This paper decomposes a firm's unexpected stock returns (unexpected excess stock returns) into intellectual capital news and expected return news (expected excess stock return news) and develops a variance decomposition model to analyze the factors that cause shocks to stock returns and excess stock returns. We also split intellectual capital into recorded and unrecorded intellectual capital, and investigate the value relevance of expected return news and recorded and unrecorded intellectual capital news.

Keywords: Unexpected stock returns; Expected return news; Intellectual capital news; Variance decomposition of returns (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1016/j.iref.2014.11.024

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