TY  - JOUR
AU  - Porta,Rafael La
AU  - Lakonishok,Josef
AU  - Shleifer,Andrei
AU  - Vishny,Robert
TI  - Good News for Value Stocks: Further Evidence on Market Efficiency
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 5311
PY  - 1995
Y2  - October 1995
UR  - http://www.nber.org/papers/w5311
L1  - http://www.nber.org/papers/w5311.pdf
N1  - Author contact info:
Rafael La Porta
Dartmouth College
Tuck School
210 Tuck Hall
Hanover, NH  03755
Tel: 603/646-3739
E-Mail: rafael.laporta@dartmouth.edu

Josef Lakonishok
University of Illinois, Department of Finance
College of Commerce & Business Administration
1206 S. Sixth Street
Champaign, IL 61820
Tel: 217/333-7185
Fax: 217/244-1151
E-Mail: jlakonishok@yahoo.com

Andrei Shleifer
Department of Economics
Harvard University
Littauer Center M-9
Cambridge, MA 02138
Tel: 617/495-5046
Fax: 617/496-1708
E-Mail: ashleifer@harvard.edu

Robert W. Vishny
Booth School of Business
The University of Chicago
5807 South Woodlawn Avenue
Chicago, IL  60637
Tel: 773/702-2522
Fax: 773/834-1920
E-Mail: Rvishny@gmail.com
M2  - featured in NBER digest on 1996-06-01
AB  - 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.
ER  -