Anomalies and News
研究发现，97个股票回报异常现象在公司新闻发布日回报高出50%，在盈利公告日高出六倍，且结果最支持偏差预期导致错误定价、新闻到来时部分修正的解释。
ABSTRACT Using a sample of 97 stock return anomalies, we find that anomaly returns are 50% higher on corporate news days and six times higher on earnings announcement days. These results could be explained by dynamic risk, mispricing due to biased expectations, or data mining. We develop and conduct several unique tests to differentiate between these three explanations. Our results are most consistent with the idea that anomaly returns are driven by biased expectations, which are at least partly corrected upon news arrival.