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The information content of unexpected stock returns: Evidence from intellectual capital

Author

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  • Lin, Yi-Mien
  • Lee, Chih-Chen
  • Chao, Chin-Fang
  • Liu, Chih-Liang

Abstract

This paper decomposes a firm's unexpected stock returns (unexpected excess stock returns) into intellectual capital news and expected return news (expected excess stock return news) and develops a variance decomposition model to analyze the factors that cause shocks to stock returns and excess stock returns. We also split intellectual capital into recorded and unrecorded intellectual capital, and investigate the value relevance of expected return news and recorded and unrecorded intellectual capital news.

Suggested Citation

  • Lin, Yi-Mien & Lee, Chih-Chen & Chao, Chin-Fang & Liu, Chih-Liang, 2015. "The information content of unexpected stock returns: Evidence from intellectual capital," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 208-225.
    • Handle: RePEc:eee:reveco:v:37:y:2015:i:c:p:208-225
    DOI: 10.1016/j.iref.2014.11.024
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    References listed on IDEAS

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    Cited by:

    1. Yang Li & Zhao Zhao, 2018. "The dynamic impact of intellectual capital on firm value: evidence from China," Applied Economics Letters, Taylor & Francis Journals, vol. 25(1), pages 19-23, January.
    2. Yuanbo Qiao & Xiaoyan Shao & Zhuolin Han & Hao Duan, 2023. "The Impact of Investments in Physical Capital, Labor, and Knowledge Capital on Enterprise Market Value: Estimation and Optimization," Mathematics, MDPI, vol. 11(18), pages 1-19, September.
    3. Nadeem, Muhammad & Zaman, Rashid & Suleman, Tahir & Atawnah, Nader, 2021. "CEO ability, career concerns, firms’ lifecycle and investments in intellectual capital," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 237-251.
    4. Liu, Dehong & Lung, Pei Peter & Lallemand, Justin, 2015. "Anticipation of takeovers in stock and options markets," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 19-35.

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