The Role of Expectations in Value and Glamour Stock Returns
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Notice bibliographique
Résumé
Abstract What happens when value and glamour stocks miss earnings expectation targets? Although, as expected, prices for glamour stocks have historically fallen, prices for value stocks have gone up—even when business fundamentals deteriorated based on results found in this study of global equities. These results suggest the superior returns delivered by value stocks may not be a result of positive developments relative to expectations but instead are more likely due to a gradual and corrective reversal of earlier overreaction and mispricing. This augments research by select scholars and provides fresh evidence explaining why value investing historically has been a successful long-term strategy. Keywords: Behavioral financeExpectationsValue investingOverreactionOveroptimismEarnings surprise Notes 1. CitationFama and French [1998] also found evidence of a value premium in more than 30 emerging markets between 1987 and 1995. They tempered conviction for the findings, noting the short period of study, the volatility of emerging market returns, and the return patterns, which were “quite leptokurtic and right skewed.” 2. Though results reported in this study represent a global universe of stocks during an essentially nonoverlapping period of study, when the study was narrowed to U.S.-based companies (as La Porta et al. did), there was still no evidence that value stocks had systematically higher earnings surprises. 3. Includes developed markets as defined by MSCI. As of June 30, 2009, developed nations by region included Asia Pacific: Australia, Hong Kong, Japan, New Zealand, and Singapore; Europe: Austria, Belgium, Denmark, Finland, France, Germany, Greece, Ireland, Italy, Netherlands, Norway, Portugal, Spain, Sweden, Switzerland, and the United Kingdom; and North America: Canada and the United States. 4. This does not represent the traditional earnings surprise of comparing estimated EPS to actual results on the day financials are reported. Rather expectations were recorded each June 30 and measured relative to what a company reported on its subsequent annual filing. Cross-sectionally, therefore, expectations are as of the same date, reflecting all information available on that date. 5. Averages calculated by putting a cap on earnings surprises at 100% and floor at −100% to mitigate outliers. Earnings surprise is defined as (Actual-Expected)/abs(Expected). 6. Represents simple price return, not total return. 7. Increasing or decreasing leverage can be a positive and negative development for equity holders. This of course depends on many factors including existing capital structure, industry, economic conditions, and business cycle. When evaluated in aggregate, however, it can be a useful gauge of balance sheet health.
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Prédiction distillée sur la base complète
Imitation des enseignantsNi prévalence calibrée, ni vérité terrain. Validation humaine à venir. Apprise à partir de 10 348 étiquettes directes de Codex et de 10 348 étiquettes directes de Gemma. Le mode candidate est l'union des têtes enseignantes seuillées; le consensus est leur intersection. Ces sorties portent le statut machine_predicted_unvalidated et ne sont ni des étiquettes humaines ni des étiquettes directes de modèles de pointe.
Scores Codex et Gemma par catégorie
| Catégorie | Codex | Gemma |
|---|---|---|
| Métarecherche | 0,000 | 0,000 |
| Méta-épidémiologie (sens strict) | 0,000 | 0,000 |
| Méta-épidémiologie (sens large) | 0,000 | 0,000 |
| Bibliométrie | 0,000 | 0,000 |
| Études des sciences et des technologies | 0,000 | 0,000 |
| Communication savante | 0,000 | 0,000 |
| Science ouverte | 0,000 | 0,000 |
| Intégrité de la recherche | 0,000 | 0,000 |
| Charge utile insuffisante (le modèle a refusé de juger) | 0,000 | 0,000 |
Scores machine (provisoires)
Les deux têtes enseignantes du modèle étudiant, lues sur ce travail. Un score ordonne la base pour la relecture; il n'affirme jamais une catégorie, et le statut de validation accompagne chaque rangée tel quel.
Scores de référence d'un modèle non mature (critères de maturité non atteints, 7 itérations). Un score ordonne; il n'affirme jamais une catégorie.
score_only:v0-immature-baseline · tel quel depuis la passe de notation : score_only signifie que le nombre peut ordonner les travaux, et qu'aucune étiquette de catégorie n'en découle