Good News for Value Stocks: Further Evidence on Market Efficiency
检验价值股超额收益是否源于投资者预期错误，通过分析组合形成后5年内价值股与热门股在盈利公告前后的股价反应，发现价值股的系统性正向盈利意外解释了大部分收益差异，不支持风险解释。
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.