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 …

Daniel and Titman (2006) propose that the value premium is due to investors overreacting to in- tangible information … proxy for tangible information based on accounting performance ("book returns"). Consistent with investors overreacting to … intangible information, they find that only stock returns orthogonal to book returns reverse. We show that their decomposition …

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 …