Good News for Value Stocks: Further Evidence on Market Efficiency

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Good News for Value Stocks: Further Evidence on Market Efficiency

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Title: Good News for Value Stocks: Further Evidence on Market Efficiency
Author: LaPorta, Rafael; Lakonishok, Josef; Shleifer, Andrei; Vishny, Robert

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Citation: LaPorta, Rafael, Josef Lakonishok, Andrei Shleifer, and Robert Vishny. 1997. Good News for Value Stocks: Further Evidence on Market Efficiency. Journal of Finance 52, no. : 859-874. doi: 10.1111/j.1540-6261.1997.tb04825.x
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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 stock 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.
Published Version: 10.1111/j.1540-6261.1997.tb04825.x
Terms of Use: This article is made available under the terms and conditions applicable to Other Posted Material, as set forth at http://nrs.harvard.edu/urn-3:HUL.InstRepos:dash.current.terms-of-use#LAA
Citable link to this page: http://nrs.harvard.edu/urn-3:HUL.InstRepos:30725119
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