Accounting‐Based Stock Price Anomalies: Separating Market Inefficiencies from Risk*
用两组检验考察六种基于会计的股票价格异常，发现盈余动量异常可能反映市场错误定价，而价值-魅力异常和计算机化基本面分析异常更可能反映风险溢价。
Abstract. We examine six accounting‐based stock price anomalies using two sets of tests to determine the extent to which the anomalies (1) represent market mispricing or (2) reflect premia for unidentified risks. Market mispricing is indicated if the anomalous returns are concentrated around subsequent earnings announcements in patterns suggesting that the earnings information causes traders to re‐examine their prior (incorrect) beliefs. Mispricing is also indicated if anomalous returns on zero‐investment portfolios are positive, period after period. Our results indicate that an anomaly based on earnings momentum probably reflects market mispricing, but that two value‐glamour anomalies (based on the book‐market ratio and the earnings‐price ratio), and two anomalies based on computerized fundamental analyses (from Ou and Penman 1989 and Holthausen and Larcker 1992) are more likely to reflect risk premia than indicated by prior research. Evidence on a sixth anomaly, based on price momentum, is mixed.