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Good News for Value Stocks: Further Evidence on Market Efficiency / Rafael La Porta, Josef Lakonishok, Andrei Shleifer, Robert Vishny.
- Format:
- Book
- Author/Creator:
- La Porta, Rafael.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w5311.
- NBER working paper series no. w5311
- Language:
- English
- Subjects (All):
- Efficient market theory.
- Physical Description:
- 1 online resource: illustrations (black and white);
- Other Title:
- Good News for Value Stocks
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1995.
- Cambridge, Massachussetts : National Bureau of Economic Research, [1995]
- Summary:
- 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 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.
- Notes:
- Print version record
- October 1995.
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