60 Pages Posted: 17 Jul 2015 Last revised: 22 Mar 2017
Date Written: November 23, 2015
Using a sample of 97 stock return anomalies documented in published studies, we find that anomaly returns are 7 times higher on earnings announcement days and 2 times higher on corporate news days. The effects are similar on both the long and short sides, and they survive adjustments for risk exposure and data mining. Moreover, anomaly signals predict errors in analysts’ earnings forecasts — analysts’ forecasts are systematically too low for anomaly-longs and too high for anomaly-shorts. Taken together, our results support the view that anomaly returns are the result of biased expectations, which are at least partially corrected upon news arrival.
Keywords: News, Anomalies, Cross-sectional return predictability, earnings announcements, market efficiency
JEL Classification: G00, G14, L3, C1
Suggested Citation: Suggested Citation
Engelberg, Joseph and McLean, R. David and Pontiff, Jeffrey, Anomalies and News (November 23, 2015). 6th Miami Behavioral Finance Conference. Available at SSRN: https://ssrn.com/abstract=2631228 or http://dx.doi.org/10.2139/ssrn.2631228