Score contribution per author:
α: calibrated so average coauthorship-adjusted count equals average raw count
This article examines the hypothesis that the superior return to so-called value stocks is the result of expectational errors made by investors. The authors study stock price reactions around earnings announcements for value and glamour stocks over a five-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. Coauthors are Josef Lakonishok, Andrei Shleifer, and Robert Vishny. Copyright 1997 by American Finance Association.