When Two Anomalies Meet : The Post – Earnings Announcement Drift and the Value – Glamour Anomaly

This study of the post – earnings announcement drift and the value – glamour anomaly finds that value stocks have greater information uncertainty, exhibit more-muted initial market reactions to earnings surprises, and have better (more positive or less negative) post – earnings announcement drifts than do glamour stocks. A trading strategy based on these findings can generate an average annual abnormal return of 16.6–18.8 percent before transaction costs

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Year of publication:	2011
Authors:	Yan, Zhipeng
Other Persons:	Zhao, Yan (contributor)
Publisher:	[2011]: [S.l.] : SSRN
Subject:	Ankündigungseffekt \| Announcement effect \| Kapitaleinkommen \| Capital income \| Gewinn \| Profit \| Börsenkurs \| Share price \| Finanzanalyse \| Financial analysis \| Marktwert \| Market value
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Financial Analysts Journal, Vol. 67, No. 6, 2011 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 22, 2011 erstellt Volltext nicht verfügbar
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013118188