Anomalies and News

Anomalies and News

  • JOSEPH ENGELBERG
  • R. DAVID MCLEAN
  • JEFFREY PONTIFF

Article first published online: 9th August 2018 DOI: 10.1111/jofi.12718

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.

Sign in to access the full article.

Related articles


MISCELLANEA

Article first published online: 18th October 2018 / DOI: 10.1111/jofi.12569

Read Article

ANNOUNCEMENTS

Article first published online: 18th October 2018 / DOI: 10.1111/jofi.12570

Read Article

ISSUE INFORMATION FM

Article first published online: 18th October 2018 / DOI: 10.1111/jofi.12572

Read Article

ISSUE INFORMATION BM

Article first published online: 18th October 2018 / DOI: 10.1111/jofi.12573

Read Article

Do Rare Events Explain CDX Tranche Spreads?

  • SANG BYUNG SEO
  • JESSICA A. WACHTER

Article first published online: 10th August 2018 / DOI: 10.1111/jofi.12705

Read Article

CMBS and Conflicts of Interest: Evidence from Ownership Changes for Servicers

  • MAISY WONG

Article first published online: 30th July 2018 / DOI: 10.1111/jofi.12690

Read Article

Are you an Author?


Please read our submission requirements and find out how to submit your paper to the Journal of Finance

Submit a paper