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.

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