We examine six stock price anomalies using two sets of tests to determine the extent to which six anomalies a) represent market mispricing, or b) reflect premia for unidentified risks. Market mispricing is indicated if the anomalous returns are concentrated around subsequent earnings...

We examine six accounting-based stock price anomalies using two sets of tests to determine the extent to which the anomalies (a) represent market mispricing, or (b) reflect premia for unidentified risks. Market mispricing is indicated if the anomalous returns are concentrated around subsequent...