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TABLE 1
Annual Cumulative Earnings Announcement Returns and Annual Buy-and-Hold Returns on
Value and Glamour Portfolios Classified by Book-to-Market Ratios, 1971-1992
(Full Sample)
Glamour
BM
	1	2	9	10
	Value	Mean	T-Stat for
	Difference	Mean Difference
	10- 1	10- 1
PANEL A: Event Returns
	RET QOI-Q04	-0.00472	0.00772	0.03200	0.03532	0.04004	5.65
	RET Q05-Q08	-0.00428	0.00688	0.02828	0.03012	0.03440	7.14
	RET Q09-Q12	0.00312	0.00796	0.02492	0.03136	0.02824	5.12
	RETQ13-Q16	0.00804	0.00812	0.02176	0.02644	0.01840	3.67
	RET Q17-Q20	0.00424	0.01024	0.01368	0.02432	0.02008	4.49
PANEL B: Size-Adjusted Event Returns
	SARQOI-Q04	-0.01595	-0.00334	0.01533	0.01610	0.03205	5.03
	SARQ05-Q08	-0.01484	-0.00419	0.01185	0.01216	0.02699	5.90
	SAR QO9-Q12	-0.00822	-0.00411	0.00812	0.01341	0.02162	4.18
	SARQ13-Q16	-0.00296	-0.00318	0.00578	0.00945	0.01240	3.05
	SARQ17-Q20	-0.00484	0.00062	0.00013	0.00987	0.01471	3.39
PANEL C: Annual Returns
	RET YR1	0.09254	0.14811	0.22534	0.21547	0.12292	3.84
	RET YR2	0.09284	0.14590	0.20085	0.21971	0.12686	3.88
	RET YR3	0.11979	0.14835	0.24195	0.24496	0.12517	4.27
	RET YR4	0.13063	0.16836	0.23149	0.25141	0.12078	3.82
	RET YR5	0.12274	0.17032	0.22329	0.23518	0.11244	3.11
PANEL D: Size-Adjusted Annual Returns
	SAR YR1	-0.07810	-0.02196	0.04412	0.03213	0.11023	3.50
	SARYR2	-0.08011	-0.02824	0.01569	0.03279	0.11289	3.91
	SAR YR3	-0.06160	-0.03947	0.03402	0.03426	0.09585	4.00
	SARYR4	-0.06130	-0.03217	0.00610	0.02467	0.08597	2.78
	SARYR5	-0.05659	-0.02101	0.00442	0.01803	0.07461	1.96
TABLE 2
Earnings Announcement Returns and Annual Buy-and-Hold Returns on
Value and Glamour Portfolios Classified by Cash-Flow-to-Price and Growth-in-Sales, 1971-1992
(Full Sample)
Glamour Value Mean
Difference
T-Stat for
Mean Difference
	CP	1	3
	GS	3	1	10-1	10-1
	PANEL A: Event Returns
	RET QOI-Q04	-0.00019	0.03201	0.03201	6.62
	RET Q05-Q08	0.00122	0.02922	0.02800	4.14
	RET QO9-Q12	0.00581	0.02589	0.02008	4.20
	RETQ13-Q16	0.00843	0.02056	0.01213	3.69
	RETQ17-Q20	0.00898	0.01966	0.01068	2.89
PANEL B: Size-Adjusted Event Returns
	SARQOI-Q04	-0.01130	0.01285	0.02415	5.31
	SAR Q05-Q08	-0.00997	0.01112	0.02110	3.21
	SARQO9-Q12	-0.00526	0.00864	0.01389	3.08
	SAR Q13-Q16	-0.00202	0.00444	0.00646	2.45
	SAR Q17-Q20	0.00025	0.00567	0.00542	1.66
	PANEL C: Annual Returns
	RET YR1	0.11790	0.23700	0.11909	4.25
	RET YR2	0.12349	0.24333	0.11983	4.17
	RET YR3	0.13979	0.23534	0.09555	3.99
	RET YR4	0.15757	0.24452	0.08695	2.83
	RET YR5	0.15758	0.22269	0.06510	2.13
PANEL D: Size-Adjusted Annual Returns
	SAR YRI	-0.04562	0.05102	0.09663	3.56
	SAR YR2	-0.04064	0.05436	0.09499	3.62
	SARYR3	-0.03826	0.02934	0.06759	2.86
	SARYR4	-0.03185	0.02511	0.05696	1.90
	SAR YR5	-0.02262	0.01531	0.03793	1.18
TABLE 3
Annual Cumulative Earnings Announcement Returns and Annual Buy-and-Hold Returns on
Value and Glamour Portfolios Classified by Book-to-Market Ratios, 1971-1992
(Firms with Market Cap > NYSE Median)
Glamour
BM
	1	2	9	10
	Value	Mean T-Stat for
	Difference Mean Difference
	10-1	10-1
PANEL A: Event Returns
	RET Q01-Q04	0.00315	0.00976	0.01840	0.01348	0.01033	0.80
	RET Q05-Q08	0.00189	0.00662	0.01819	0.0171?	0.01528	2.09
	RET QO9-Q12	0.00265	0.00649	0.01341	0.01468	0.01203	1.55
	RETQ13-Q16	0.00474	0.00633	0.00757	0.01172	0.00698	0.93
	RET Q17-Q20	0.00230	0.00569	0.00498	0.00182	-0.00048	-0.08
PANEL B: Size-Adjusted Event Returns
	SARQ01-Q04	-0.00417	0.00267	0.01118	0.00476	0.00893	0.69
	SAR Q05-Q08	-0.00561	-0.00056	0.01060	0.00946	0.01508	2.06
	SAR QO9-Q12	-0.00566	-0.00176	0.00545	0.00741	0.01296	1.71
	SAR Q13-Q16	-0.00290	-0.00110	0.00019	0.00470	0.00760	1.03
	SAR Q17-Q20	-0.00321	0.00021	-0.00091	-0.00346	-0.00025	-0.04
PANEL C: Annual Returns
	RET YRI	0.11850	0.13855	0.17810	0.19898	0.08047	1.77
	RET YR2	0.09456	0.13442	0.18220	0.20341	0.10884	2.83
	RET YR3	0.11630	0.14040	0.19985	0.22462	0.10831	2.97
	RET YR4	0.12053	0.15511	0.18150	0.21296	0.09243	3.32
	RET YR5	0.10921	0.15368	0.20022	0.20082	0.09160	2.76
PANEL D: Size-Adjusted Annual Returns
	SAR YRI	-0.03286	-0.01312	0.02334	0.04211	0.07497	1.68
	SARYR2	-0.06261	-0.02261	0.02557	0.04220	0.10481	2.84
	SARYR3	-0.04951	-0.02794	0.02596	0.05322	0.10272	2.99
	SARYR4	-0.05814	-0.02656	-0.00752	0.02648	0.08462	3.19
	SAR YR5	-0.06009	-0.01887	0.02488	0.02892	0.08901	2.93
TABLE 4
Earnings Announcement Returns and Annual Buy-and-Hold Returns on
Value and Glamour Portfolios Classified by Cash-Flow-to-Price and Growth-in-Sales, 1971-1992
(Firms with Market Cap > NYSE Median)
Glamour Value Mean T-Stat for
	Difference	Mean Difference
	CP	1	3
	GS	3	1	10-1	10-1
	PANEL A: Event Returns
	RETQOI-Q04	0.00456	0.01683	0.01228	2.13
	RET Q05-Q08	0.00245	0.02634	0.02389	3.80
	RET QO9-Q12	0.00445	0.01337	0.00892	1.25
	RETQ13-Q16	0.00374	0.00798	0.00424	0.83
	RETQ17-Q20	0.00388	0.00459	0.00072	0.16
PANEL B: Size-Adjusted Event Returns
	SARQOI-Q04	-0.00252	0.00872	0.01124	2.06
	SAR Q05-Q08	-0.00487	0.01813	0.02300	3.68
	SARQO9-Q12	-0.00278	0.00544	0.00821	1.14
	SARQ13-Q16	-0.00308	0.00020	0.00328	0.63
	SARQ17-Q20	-0.00089	-0.00145	-0.00056	-0.13
	PANEL C: Annual Returns
	RET YR1	0.11840	0.19950	0.08109	2.58
	RET YR2	0.11089	0.19257	0.08168	2.6
	RET YR3	0.11857	0.19773	0.07916	3.45
	RET YR4	0.13551	0.20017	0.06465	2.11
	RET YR5	0.12846	0.20431	0.07584	2.57
PANEL D: Size-Adjusted Annual Returns
	SARYRI	-0.02959	0.04722	0.07680	2.57
	SARYR2	-0.03972	0.03650	0.07622	2.55
	SAR YR3	-0.04412	0.03377	0.07789	3.57
	SARYR4	-0.04048	0.02209	0.06257	2.05
	SAR YR5	-0.03987	0.03480	0.07467	2.58
TABLE 5
Cross-Section Regression Tests of Difference between Event and Non-Event Returns
for Value and Glamour Portfolios, 1971-1992
(Full Sample)
Intercept Event Day Dummy
Market Return
	PANEL A: Regressions for Portfolios Formed on BM
	Low BM Portfolio Return 0.000128	-0.000661	1.0670
	(Glamour) (2.00)	(-3.44)	(73.08)
	High BM Portfolio Return 0.001104	0.001945	0.6502
	(Value) (6 77)	(5.45)	(30.67)
	PANEL B: Regressions for Portfolios Formed on (CP GS!
	Low CP, High GS Portfolio Return 0.000161	-0.000399	1.0276
	(Glamour) (2.40)	(-2.56)	(76.12)
	High CP, Low GS Portfolio Return 0.000764	0.001769	0.6751
	(Value)	(7.35) (7.05)	(32.30)