Anomalies and News
By Joseph E. Engelberg, R. D. McLean, Jeffrey Pontiff. Journal of Finance, 2017
248 citations recorded by the source corpus.
Using a sample of 97 stock return anomalies documented in published studies, we find that anomaly returns are 7 times higher on earnings announcement days and 2 times higher on corporate news days. The effects are similar on both the long and short sides, and they survive adjustments for risk exposure and data mining. Moreover, anomaly signals predict errors in analysts’ earnings forecasts — analysts’ forecasts are systematically too low for anomaly-longs and too high for anomaly-shorts. Taken together, our results support the view that anomaly returns are the result of biased expectations, which are at least partially corrected upon news arrival.
Subfields: Accounting, Finance
View Paper: https://www.semanticscholar.org/paper/3da762c22aa2331707399781509b3f31f39a2ecb
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Citations in the corpus
- Psychology-based Models of Asset Prices and Trading Volume (2018, background): “31Other psychology-free tests of behavioral finance models can be found in La Porta et al. (1997) and Engelberg et al. (2017).”
- Technological links and predictable returns (2019, unknown): “Specifically, in Table 3, we conduct Fama and MacBeth (1973) regressions where the dependent variable (in columns 1-3) is the focal firm raw return in month t (RETt).”