Balakrishnan, Karthik; Bartov, Eli; Faurel, Lucile - In: Journal of Accounting and Economics 50 (2010) 1, pp. 20-41
We document a market failure to fully respond to loss/profit quarterly announcements. The annualized post portfolio formation return spread between two portfolios formed on extreme losses and extreme profits is approximately 21 percent. This loss/profit anomaly is incremental to previously...