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Market Overreaction to Intangible Information

Author

Listed:
  • Carlos Marcelo Lauretti

    (Universidade Presbiteriana Mackenzie)

  • Eduardo Kazuo Kayo

    (FEA-USP)

  • Emerson Fernandes Marçal

    (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,

Suggested Citation

  • Carlos Marcelo Lauretti & Eduardo Kazuo Kayo & Emerson Fernandes Marçal, 2009. "Market Overreaction to Intangible Information," Brazilian Review of Finance, Brazilian Society of Finance, vol. 7(2), pages 215-236.
    • Handle: RePEc:brf:journl:v:7:y:2009:i:2:p:215-236
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    More about this item

    Keywords

    overreaction; intangibility; risk; returns; pricing;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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