On the Role of Intangible Information and Capital Gains Taxes in Long‐Term Return Reversals
研究发现，基于无形信息的赢家组合的长期反转不能用锁定资本利得解释，且反转持续性强，支持过度反应假说。
Prior studies have linked long‐term reversals to the magnitude of locked‐in capital gains suggesting that reversals are driven by tax effects and not overreaction. I find that locked‐in capital gains do not explain the reversals in winners when winner returns are based on intangible information. In fact, the reversals for intangible return winners are long lasting and robust to controls for growth in assets and capital expenditures. To the extent that reversals associated with intangible information stem from investors’ overreaction to intangible information and given the prior results linking reversals only to intangible information, my results suggest that overreaction still explains reversal patterns in US stock returns.