IMO, it is not likely that the enigma referred to is the excessively/overly profitable stocks. Why would it be an enigma, and from whose viewpoint?

What Behavioral Finance is discussing are abnormal profits in the capital markets. The writer (in Spanish) may have simplified is vocabulary.

Note the following references:

The book-to-market (BM) phenomenon - the positive association between BM and subsequent returns - looms large among capital market enigmas. Economic theory postulates that the difference between market and book values of companies reflects their future abnormal profits. We capture these **abnormal profits** for a large sample of science-based companies by estimating the value of the off-balance sheet investment generating those profits - the value of R&D capital - and show empirically: (i) Firms' R&D capital is associated with their subsequent stock returns. (ii) For R&D intensive firms, this 'R&D effect' subsumes the 'book-to-market effect.' (iii) The association between R&D and subsequent returns appears to result from an extra-market risk factor inherent in R&D, rather than from stock mispricing. We thus provide an explanation for the book-to-market phenomenon of R&D companies. Copyright Blackwell Publishers Ltd 1999.
http://ideas.repec.org/a/bla/jbfnac/v26y1999-04i3-4p419-449....

The question regarding the usefulness of annual financial statements in determining firm value is also evident in the increasing gap in the book to market ratio, described by Lev and Sougiannis (1999 : 419) as “a phenomena which looms large among capital market enigmas”, and has yet to be explained in modern literature. A number 7
of studies have attempted to explain the gap, with three dominant routes emerging. Fama and French (1995) attribute the presence of high book to market ratios for certain firms to a risk premium, suggesting that higher returns are demanded for the possibility of financial distress.
http://witsetd.wits.ac.za:8080/dspace/bitstream/123456789/18...

Lev and Sougiannis (1999) attempt to explain the increasing gap in the book to market ratio by regressing research and development in science-based companies in an attempt to quantify the future **abnormal profits** of these companies. They conclude that there is a significant association between research and development expenditure and the book to market ratio in these firms, suggesting that the book to market ratio reflects the non-recognition of internally generated intangibles in the form of goodwill.
http://witsetd.wits.ac.za:8080/dspace/bitstream/123456789/18...

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Note added at 28 days (2009-09-14 11:00:16 GMT) Post-grading
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Abnormal profits.
In economics supernormal profit, also called economic rent, abnormal profit or pure profit or excess profits, is a profit exceeding the normal profit. Normal profit equals the opportunity cost of labour and capital, while supernormal profit is the amount exceeds the normal return from these input factors in production.

Abnormal profit is usually generated by an oligopoly or a monopoly; however, these firms often try to hide this from the market to reduce risk of competition or antitrust investigation.
http://www.answers.com/topic/abnormal-profit

There is not a single Google reference to "overly profitable stocks" - a rather odd term.