We examine whether the value anomaly in the Japanese equity market can be explained by market overreactions. Using I/B/E/S market consensus data on earning forecasts, we capture market overreactions by measuring earning surprises. The typical story is that the market tends to be overly...

We examine whether the value anomaly in the Japanese equity market can be explained by market overreactions. Using I/B/E/S market consensus data on earning forecasts, we capture market overreactions by measuring earning surprises. The typical story is that the market tends to be overly...