Anomalies and News

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...

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Veröffentlicht in:	The Journal of finance (New York) 2018-10, Vol.73 (5), p.1971-2001
Hauptverfasser:	ENGELBERG, JOSEPH, MCLEAN, R. DAVID, PONTIFF, JEFFREY
Format:	Artikel
Sprache:	eng
Schlagworte:	Bias Data mining Earnings Earnings announcements News Rates of return
Online-Zugang:	Volltext
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Beschreibung
Zusammenfassung:	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.
ISSN:	0022-1082 1540-6261
DOI:	10.1111/jofi.12718