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 language | English (US) |
|---|---|
| Pages (from-to) | 46-60 |
| Number of pages | 15 |
| Journal | Financial Analysts Journal |
| Volume | 67 |
| Issue number | 6 |
| DOIs | |
| State | Published - Nov 2011 |
All Science Journal Classification (ASJC) codes
- Accounting
- Finance
- Economics and Econometrics