Journal of Finance Vol. 52 No. 2 1997

Good News for Value Stocks: Further Evidence on Market Efficiency

Rafael La Porta; Josef Lakonishok; Andrei Shleifer; Robert W. Vishny^1,2

¹ National Bureau of Economic Research · ² University of Illinois Chicago

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.

DOI

10.1111/j.1540-6261.1997.tb04825.x

Volume

52

Issue

2

Pages

859-874

Language

en

Sources

crossref openalex

Cite

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