When two anomalies meet: The post-earnings announcement drift and the value-glamour anomaly

Authors

Zhipeng Yan, New Jersey Institute of Technology
Yan Zhao, City College of New York

Document Type

Article

Publication Date

11-1-2011

Abstract

This study of the post-earnings announcement drift and the value-glamour anomaly finds that value stocks have greater information uncertainty, exhibit more-muted initial market reactions to earnings surprises, and have better (more positive or less negative) post-earnings announcement drifts than do glamour stocks. A trading strategy based on these findings can generate an average annual abnormal return of 16.6-18.8 percent before transaction costs. ©2011 CFA Institute.

Identifier

84855404670 (Scopus)

Publication Title

Financial Analysts Journal

External Full Text Location

https://doi.org/10.2469/faj.v67.n6.3

ISSN

0015198X

First Page

46

Last Page

60

Issue

6

Volume

67

Recommended Citation

Yan, Zhipeng and Zhao, Yan, "When two anomalies meet: The post-earnings announcement drift and the value-glamour anomaly" (2011). Faculty Publications. 11100.
https://digitalcommons.njit.edu/fac_pubs/11100