Bridge over ocean
1 November 2011 Financial Analysts Journal Volume 67, Issue 6

When Two Anomalies Meet: The Post–Earnings Announcement Drift and the Value–Glamour Anomaly

  1. Zhipeng Yan
  2. Yan Zhao

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.

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