Anomalies and News

• 成果类型: Article
• 署名作者: Engelberg, Joseph; McLean, R. David; Pontiff, Jeffrey
• 署名单位: University of California System; University of California San Diego; Boston College
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12718
• 发表日期: 2018
• 页码: 1971-2001
• 关键词: MARKET-EFFICIENCY; cross-section; earnings announcements; COSTLY ARBITRAGE; Expected returns; stock returns; INFORMATION; RISK; performance; INVESTMENT

摘要

Using a sample of 97 stock return anomalies, we find that anomaly returns are 50% higher on corporate news days and six times higher on earnings announcement days. These results could be explained by dynamic risk, mispricing due to biased expectations, or data mining. We develop and conduct several unique tests to differentiate between these three explanations. Our results are most consistent with the idea that anomaly returns are driven by biased expectations, which are at least partly corrected upon news arrival.