When two anomalies meet: The post-earnings announcement drift and the value-glamour anomaly

Zhipeng Yan, Yan Zhao

Research output: Contribution to journalArticlepeer-review

8 Scopus citations

Abstract

This study of the post-earnings announcement drift and the value-glamour anomaly finds that value stocks have greater information uncertainty, exhibit more-muted initial market reactions to earnings surprises, and have better (more positive or less negative) post-earnings announcement drifts than do glamour stocks. A trading strategy based on these findings can generate an average annual abnormal return of 16.6-18.8 percent before transaction costs.

Original languageEnglish (US)
Pages (from-to)46-60
Number of pages15
JournalFinancial Analysts Journal
Volume67
Issue number6
DOIs
StatePublished - Nov 2011

All Science Journal Classification (ASJC) codes

  • Accounting
  • Finance
  • Economics and Econometrics

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