Good News for Value Stocks: Further Evidence on Market Efficiency
24 Pages
Posted: 2 Sep 2000
Dartmouth College - Tuck School of Business; National Bureau of Economic Research (NBER)
University of Illinois at Urbana-Champaign; National Bureau of Economic Research (NBER)
Harvard University - Department of Economics; National Bureau of Economic Research (NBER); European Corporate Governance Institute (ECGI)
University of Chicago - Booth School of Business; National Bureau of Economic Research (NBER)
Date Written: October 1995
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.
Suggested Citation:
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
