@techreport{NBERw5311,
 title = "Good News for Value Stocks: Further Evidence on Market Efficiency",
 author = "Rafael La Porta and Josef Lakonishok and Andrei Shleifer and Robert Vishny",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "5311",
 year = "1995",
 month = "October",
 URL = "http://www.nber.org/papers/w5311",
 abstract = {This paper 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.},
}