Good News for Value Stocks: Further Evidence on Market Efficiency

La Porta, Rafael, et al
Authors registered in the RePEc Author Service: Rafael La Porta and Andrei Shleifer

Journal of Finance, 1997, vol. 52, issue 2, 859-74

Abstract: This article examines the hypothesis that the superior return to so-called value stocks is the result of expectational errors made by investors. The authors study stock price reactions around earnings announcements for value and glamour stocks over a five-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. Coauthors are Josef Lakonishok, Andrei Shleifer, and Robert Vishny. Copyright 1997 by American Finance Association.

Date: 1997
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Citations: View citations in EconPapers (232)

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Related works:
Working Paper: Good News for Value Stocks: Further Evidence on Market Efficiency (1997)
Working Paper: Good News for Value Stocks: Further Evidence on Market Efficiency (1995)
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