Articlegreen2018

Anomalies and News

318 citations0/0 files storedThe Journal of Finance

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Stock Market Forecasting Methods

Abstract

ABSTRACT Using a sample of 97 stock return anomalies, we find that anomaly returns are 50% higher on corporate news days and six times higher on earnings announcement days. These results could be explained by dynamic risk, mispricing due to biased expectations, or data mining. We develop and conduct several unique tests to differentiate between these three explanations. Our results are most consistent with the idea that anomaly returns are driven by biased expectations, which are at least partly corrected upon news arrival.

Citations in this library

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References

1993Common risk factors in the returns on stocks and bonds 1997On Persistence in Mutual Fund Performance 1992The Cross-Section of Expected Stock Returns 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency 1985Does the Stock Market Overreact?1996Multifactor Explanations of Asset Pricing Anomalies 1968An Empirical Evaluation of Accounting Income Numbers 1990Noise Trader Risk in Financial Markets

Cited by

2018Sticky Expectations and the Profitability Anomaly 2017Technological Links and Predictable Returns 2019Anomalies across the globe: Once public, no longer existent?2018Psychology-Based Models of Asset Prices and Trading Volume 2023Option Return Predictability with Machine Learning and Big Data 2020Anomalies and the Expected Market Return 2016Market maturity and mispricing

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