Hwang, Soosung; Rubesam, Alexandre - In: Journal of Banking & Finance 37 (2013) 7, pp. 2367-2377
We investigate the dynamics of the value anomaly in order to identify the driving forces of the anomaly. We show that the large positive value-minus-growth portfolio returns are explained by an over-reaction (under-reaction) to the positive (negative) market movements in short, specific time...