Professor Joseph Engelberg, from University of Southern California, San Diego, will be the Finance Seminar speaker on Friday, October 02, 2015. Joseph will present his paper titled “Anomalies and News”
The seminar will be held at Yale School of Management from 11:35am – 12:55pm in EVANS 4410 located at 165 Whitney Avenue.
Lunch will be served at 11:30am. We hope you can attend!
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Anomalies and News
Joseph Engelberg, R. David McLean and Jeffrey Pontiff
July 15, 2015
Abstract
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. We also find that anomaly signals predict analyst forecast errors of earnings announcements. Taken together, our results support the view that anomaly returns are the result of mispricing, which is at least partially corrected upon news arrival.
Keywords: News, cross-sectional return predictability, earnings announcements, market efficiency.
JEL Code: G00, G14, L3, C1.
