Another Look at Market Responses to Tangible and Intangible Information

Kent Daniel and Sheridan Titman

Critical Finance Review, 2016, vol. 5, issue 1, 165-175

Abstract: As Gerakos and Linnainmaa (2016) point out, the Daniel and Titman (2006) decomposition of returns into tangible and intangible components can potentially be ambiguous. In particular DT’s book-return, the adjusted growth rate in book value per-share which DT use as a tangible measure of long-term performance, can be affected by a firm’s issuance and repurchase choices as well as by its profitability. This paper clarifies the relation between total book equity growth, our book-return measure, and our composite share issuance variable, and shows that our earlier conclusions are robust. We also provide out-ofsample tests.

Keywords: Asset Pricing; Stock Returns; Market Efficiency (search for similar items in EconPapers)
JEL-codes: G12 G14 G17 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:now:jnlcfr:104.00000031

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