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Cited by 803

The DOI matches its Crossref record.

Good News for Value Stocks: Further Evidence on Market Efficiency

Open access
PORTA, RAFAEL LA, LAKONISHOK, JOSEF, SHLEIFER, ANDREI, VISHNY, ROBERT·1997·The Journal of Finance
DOI 10.1111/j.1540-6261.1997.tb04825.x
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Abstract

This article 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.

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Metadata

Authors
PORTA, R. L., LAKONISHOK, J., SHLEIFER, A., & VISHNY, R.
Venue
The Journal of Finance
Publisher
Wiley
Published
1997-06
Volume
52
Issue
2
Pages
859-874
ISSN
  • 0022-1082 (ISSN-L)
  • 1540-6261
DOI
10.1111/j.1540-6261.1997.tb04825.x
OpenAlex
W3124199955
Cited by
803
References
0
FWCI
18.57
Type
journal article
Language
en
Open access
bronze

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CoChat. (2026). Citation check: Good News for Value Stocks: Further Evidence on Market Efficiency. https://app.cochat.ai/papers/10.1111/j.1540-6261.1997.tb04825.x
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PORTA, R. L., LAKONISHOK, J., SHLEIFER, A., & VISHNY, R. (1997). Good News for Value Stocks: Further Evidence on Market Efficiency. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.1997.tb04825.x

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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.