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五年内盈利公告前后的股价反应，发现价值股与魅力股的收益差异主要来自价值股的系统性正向盈利意外，不支持风险解释。
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.