复旦大学投资学课件 Section8 Good News for Value Stocks

1、Good News for Value Stocks: Further Evidence on Market Efficiency La Porta, Lakonishok, Shleifer,and Vishny, JOF 1997.6Abstract IntroductionvFama-French(1992): ICAPMvLSV(1994): little evidence that high book-to-market and high cash-flow-price stocks are riskier. Value stocks have been underpriced re

2、lative to their risk and return characteristics for behavioral reasons.vExpectational errors made by investors. vThe large price-earning ratio differences between value and glamour stocks seem to reflect an expectation that past growth differences will persist much longer than is predictable from pa

3、st data.vThis article examine the markets reaction to earnings announcements to determine whether investors make systematic errors in pricing1. MethodologyvData: COMPUSTAT, firms from NYSE,AMEX, Nasdaq. CRSPvFirms must have CRSP value of equity in Dec of year t-1 and Jun of year t.vRequire the firm

4、to have COMPUSTAT data on sales and earnings for fiscal years ending in calendar t-1 through t-5Earnings announcement return difference: two classificationvBook-to-market ratio :vTwo-way based on cash-flow-to-price and past growth-in-sales:Buy-and-hold returns and earnings announcement returnsvAnnua

5、l buy-and-hold returnsvEarnings announcement returnsSize-adjusted returnsSize-adjusted earnings announcement returnsvSimilar wayvSubtracting off the return on its corresponding size decile earnings announcement benchmark.2. Earnings Surprises for Value and Glamour PortfoliosvTable 1 reports results

6、on earnings announcement returns and annual buy-and-hold returns for value and glamour portfolios using the BM classificationvEvent returns are substantially higher for the value portfolio than for the glamour portfoliovThe difference of +4% represents one-third of the 12.2% total difference in firs

7、t-year returns.vDifference in year 4 and 5 is half that in years 1 and 2: the positive updating on the earnings prospects of value stocks relative to glamour stocks takes place quite slowly.vSize-adjusted event returns tell a similar story but smaller magnitudeTable 2: CP,GS classificationvThe diffe

8、rence in both event returns and annual buy-and-hold returns die out more rapidly over time using the (CP,GS) classificationvLarger firmsTable 3 and 4: larger firmsSome interpretationsvThe pricing of larger firms is more efficient, leaving less systematic bias in the earnings surprises for value vers

9、us glamour firmsvThese firms get more press coverage and more fundamental news has been impounded in.Late earnings announcementsResults vBM classification: little differencev(CP, GS): the delayed announcement bias does not appear to explain the return difference between value and glamour firms aroun

10、d earnings announcements.3. Do Differences in event returns represent difference in risk premia?vRisk premium story: data do not support itvBM: event day returns are significantly below nonevent day returnsv(CP,GS): similar but less dramaticvIn sum, comparison of event and nonevent day returns do no

11、t support the risk premium explanation of superior return on value stocks4 conclusionvExpectational errors about future earnings prospects play an important role in the superior return to value stocks.vEvent returns for glamour stocks are lower than glamour returns on an average day, inconsistent with risk premium explanationvResults for firms larger than the NYSE median are weaker.vPersistence of