Good News for Value Stocks: Further Evidence on Market Efficiency

Rafael La Porta, Josef Lakonishok, Andrei Shleifer and Robert Vishny

No 5311, NBER Working Papers from National Bureau of Economic Research, Inc

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 stocks 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: 1995-10
Note: AP
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Citations: View citations in EconPapers (14)

Published as Journal of Finance, Vol. 52, no. 2 (June 1997): 859-873.

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Journal Article: Good News for Value Stocks: Further Evidence on Market Efficiency (1997)
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