Note(s): This table presents results of the analysis that controls for profitability shocks and percentage change in the estimated intrinsic value of equity from 06/30 of t to 06/30 of t + 1. ProfitabilityShock is the difference between profitability of t + 1 and the expected profitability of t + 1 obtained using the method introduced in Hou and van Dijk (2019). PctChgV is the percentage change in the estimated intrinsic value of equity from 06/30 of t to 06/30 of t + 1. The dependent variable (⁠$Rt→t+1$⁠) is stock return over 07/01 of t to 06/30 of t + 1, t = 1966 to 2015. $IVOL$ is the idiosyncratic volatility measure, defined in  Appendix 2. $LnP/V(t)$ is the difference between the natural logarithm of the market value of equity on 06/30 of t and the natural logarithm of the estimated intrinsic value of equity obtained using the latest accounting information available by 06/30 of t, t = 1966 to 2015 (see  Appendix 1). $LnP/V(t):Qi$ is an indicator variable that equals 1 if $LnP/V(t)$ is in the i-th quintile (0 otherwise), i = 1 to 5. T-statistics in parentheses are adjusted for Newey-West autocorrelations of three lags. **, *, and † denote statistical significance at the 1, 5, and 10% levels, respectively, using a 2-tailed test