This paper investigates the relationship between stock returns and tangible and intangible information. The authors decompose stock returns into components attributable to tangible and intangible information. Tangible information refers to fundamental accounting performance measures such as sales, earnings, and cash flow growth, while intangible information refers to other determinants of a stock's past return. The authors find that intangible information reliably predicts future stock returns, while tangible returns have no forecasting power. The premia associated with intangible information pose challenges for traditional asset pricing models and models based on psychological factors. The authors also introduce a composite share issuance variable, which measures the quantity of shares a firm issues or repurchases in exchange for cash or services. This variable is likely to capture components of intangible information not accounted for in accounting-based variables. The authors find that future returns are strongly negatively associated with past intangible returns, suggesting that intangible returns may contain information about mispricing or the future risk and discount rate of a firm's cash flows. The authors also find that the book-to-market effect subsumes the DeBondt and Thaler (1995) reversal effect. This is because the reversal of the intangible component of returns generates the return reversals observed in the data. The authors also find that the book-to-market ratio tends to predict future returns because it captures both the expected growth in book value and the log change in its price. The authors find that the book-to-market ratio is highly persistent, indicating that firms' book-to-market ratios are highly persistent. They also find that the book-to-market ratio is highly negatively correlated with the book return, indicating that low book-to-market or growth firms generally have higher profitability (in the form of book returns) per share in the future. The authors find that the book-to-market ratio is a strong predictor of future returns, consistent with the existing literature. They also find that the book-to-market ratio is a strong predictor of future returns when decomposed into its components. The authors find that the book-to-market ratio is a strong predictor of future returns when decomposed into its components, and that the book return is not a strong predictor of future returns. The authors also find that the book-to-market ratio is a strong predictor of future returns when decomposed into its components, and that the book return is not a strong predictor of future returns. The authors find that the book-to-market ratio is a strong predictor of future returns when decomposed into its components, and that the book return is not a strong predictor of future returns. The authors find that the book-to-market ratio is a strong predictor of future returns when decomposed into its components, and that the book return is not a strong predictor of future returns.This paper investigates the relationship between stock returns and tangible and intangible information. The authors decompose stock returns into components attributable to tangible and intangible information. Tangible information refers to fundamental accounting performance measures such as sales, earnings, and cash flow growth, while intangible information refers to other determinants of a stock's past return. The authors find that intangible information reliably predicts future stock returns, while tangible returns have no forecasting power. The premia associated with intangible information pose challenges for traditional asset pricing models and models based on psychological factors. The authors also introduce a composite share issuance variable, which measures the quantity of shares a firm issues or repurchases in exchange for cash or services. This variable is likely to capture components of intangible information not accounted for in accounting-based variables. The authors find that future returns are strongly negatively associated with past intangible returns, suggesting that intangible returns may contain information about mispricing or the future risk and discount rate of a firm's cash flows. The authors also find that the book-to-market effect subsumes the DeBondt and Thaler (1995) reversal effect. This is because the reversal of the intangible component of returns generates the return reversals observed in the data. The authors also find that the book-to-market ratio tends to predict future returns because it captures both the expected growth in book value and the log change in its price. The authors find that the book-to-market ratio is highly persistent, indicating that firms' book-to-market ratios are highly persistent. They also find that the book-to-market ratio is highly negatively correlated with the book return, indicating that low book-to-market or growth firms generally have higher profitability (in the form of book returns) per share in the future. The authors find that the book-to-market ratio is a strong predictor of future returns, consistent with the existing literature. They also find that the book-to-market ratio is a strong predictor of future returns when decomposed into its components. The authors find that the book-to-market ratio is a strong predictor of future returns when decomposed into its components, and that the book return is not a strong predictor of future returns. The authors also find that the book-to-market ratio is a strong predictor of future returns when decomposed into its components, and that the book return is not a strong predictor of future returns. The authors find that the book-to-market ratio is a strong predictor of future returns when decomposed into its components, and that the book return is not a strong predictor of future returns. The authors find that the book-to-market ratio is a strong predictor of future returns when decomposed into its components, and that the book return is not a strong predictor of future returns.