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Keywords: Return reversals
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Journal Articles
Journal:
Critical Finance Review
Critical Finance Review (2016) 5 (1): 135–163.
Published: 12 May 2016
... 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 creates a book return polluted by past book-to-market ratios, stock returns...
