Abstract

https://ssrn.com/abstract=2631228
 
 

Citations (1)



 


 



Anomalies and News


Joseph Engelberg


University of California, San Diego (UCSD) - Rady School of Management

R. David McLean


Georgetown University - Department of Finance; affiliation not provided to SSRN

Jeffrey Pontiff


Boston College - Department of Finance

November 23, 2015

6th Miami Behavioral Finance Conference

Abstract:     
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.

Number of Pages in PDF File: 60

Keywords: News, Anomalies, Cross-sectional return predictability, earnings announcements, market efficiency

JEL Classification: G00, G14, L3, C1


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Date posted: July 17, 2015 ; Last revised: June 3, 2016

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

Contact Information

Joseph Engelberg
University of California, San Diego (UCSD) - Rady School of Management ( email )
9500 Gilman Drive
Rady School of Management
La Jolla, CA 92093
United States
R. David McLean
Georgetown University - Department of Finance ( email )
3700 O Street, NW
Washington, DC Washington DC 20057
United States

affiliation not provided to SSRN
Jeffrey Pontiff (Contact Author)
Boston College - Department of Finance ( email )
Carroll School of Management
140 Commonwealth Avenue
Chestnut Hill, MA 02467-3808
United States
Feedback to SSRN


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