Market Reactions to Tangible and Intangible Information
发现股票未来收益与过去会计业绩无关，但与过去“无形”收益（与业绩正交的部分）强负相关；账面市值比因代理无形收益而预测收益，综合股权发行量也独立预测收益。
ABSTRACT The book‐to‐market effect is often interpreted as evidence of high expected returns on stocks of “distressed” firms with poor past performance. We dispute this interpretation. We find that while a stock's future return is unrelated to the firm's past accounting‐based performance, it is strongly negatively related to the “intangible” return, the component of its past return that is orthogonal to the firm's past performance. Indeed, the book‐to‐market ratio forecasts returns because it is a good proxy for the intangible return. Also, a composite equity issuance measure, which is related to intangible returns, independently forecasts returns.