Good News for Value Stocks: Further Evidence on Market Efficiency

Rafael LaPorta, Josef Lakonishok, Andrei Shleifer and Robert Vishny

Scholarly Articles from Harvard University Department of Economics

Abstract: This paper 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 stock 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.

Date: 1997
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Citations: View citations in EconPapers (221)

Published in Journal of Finance

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Related works:
Journal Article: 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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Persistent link: https://EconPapers.repec.org/RePEc:hrv:faseco:30725119

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