Abstract

https://ssrn.com/abstract=225375
 
 

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Good News for Value Stocks: Further Evidence on Market Efficiency


Rafael La Porta


Dartmouth College - Tuck School of Business; National Bureau of Economic Research (NBER)

Josef Lakonishok


University of Illinois at Urbana-Champaign; National Bureau of Economic Research (NBER)

Andrei Shleifer


Harvard University - Department of Economics; National Bureau of Economic Research (NBER); European Corporate Governance Institute (ECGI)

Robert W. Vishny


University of Chicago - Booth School of Business; National Bureau of Economic Research (NBER)

October 1995

NBER Working Paper No. w5311

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.

Number of Pages in PDF File: 24


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Date posted: September 2, 2000  

Suggested Citation

La Porta, Rafael and Lakonishok, Josef and Shleifer, Andrei and Vishny, Robert W., Good News for Value Stocks: Further Evidence on Market Efficiency (October 1995). NBER Working Paper No. w5311. Available at SSRN: https://ssrn.com/abstract=225375

Contact Information

Rafael La Porta (Contact Author)
Dartmouth College - Tuck School of Business ( email )
Hanover, NH 03755
United States
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Josef Lakonishok
University of Illinois at Urbana-Champaign ( email )
1206 South Sixth Street
Champaign, IL 61820
United States
217-333-7185 (Phone)
217-244-3102 (Fax)
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Andrei Shleifer
Harvard University - Department of Economics ( email )
Littauer Center
Cambridge, MA 02138
United States
617-495-5046 (Phone)
617-496-1708 (Fax)
HOME PAGE: http://www.economics.harvard.edu/~ashleife/
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
European Corporate Governance Institute (ECGI)
c/o ECARES ULB CP 114
B-1050 Brussels
Belgium
HOME PAGE: http://www.ecgi.org
Robert W. Vishny
University of Chicago - Booth School of Business ( email )
5807 S. Woodlawn Avenue
Chicago, IL 60637
United States
312-702-2522 (Phone)
312-702-0118 (Fax)

Chicago Booth School of Business Logo

National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
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