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Good News for Value Stocks: Further Evidence on Market Efficiency

Year: 1997

Type: article

Abstract: ABSTRACT This article 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.

Source: The Journal of Finance

DOI: 10.1111/j.1540-6261.1997.tb04825.x

Authors: RAFAEL LA PORTA, JOSEF LAKONISHOK, ANDREI SHLEIFER, ROBERT VISHNY

Institutions: University of Luxembourg, University of Illinois Urbana-Champaign, University of Illinois System, Harvard University, University of Chicago

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: bronze

Funder: National Science Foundation

OpenAlex ID: W3124199955

FWCI: 19.37

Cites: 19

Cited by: 806

Related to: 10