Good news for value stocks: Further evidence on market efficiency

• 成果类型: Article
• 署名作者: LaPorta, R; Lakonishok, J; Shleifer, A; Vishny, R
• 署名单位: University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; University of Chicago
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.1997.tb04825.x
• 发表日期: 1997
• 页码: 859-874
• 关键词: cross-section; returns; performance; INVESTMENT; overreact; RISK

摘要

This article examines the hypothesis that the superior return to so-called value stocks is the result of expectational errors made by investors. We study stock price reactions around earnings announcements for value and glamour stacks over a 5-year period after portfolio formation. The announcement returns suggest that a significant portion of the return difference between value and glamour stocks is attributable to earnings surprises that are systematically more positive for value stocks. The evidence is inconsistent with a risk-based explanation for the return differential.