X-Message-Number: 9921 Date: Sat, 20 Jun 1998 15:45:04 -0700 (PDT) From: Doug Skrecky <> Subject: value stocks The Journal of Finance LII(2): 859-874 June 1997 "Good News for Value Stocks: Further Evidence on Market Efficiency" 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 stock 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 differencial. Rate This Message: http://www.cryonet.org/cgi-bin/rate.cgi?msg=9921