Economics, Econometrics and Finance
6 years ago

Earnings Announcements Drive Value Premium, Neglected Firms Benefit Most

SSRN Electronic Journal
Earnings Information and the Value in Value Premium
Somnath Das, Alexander Z. King, Nitish Ranjan Sinha

Paper Summary

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The value premium in stocks is mainly influenced by new earnings information. Stocks show higher returns during earnings announcements compared to other times. Neglected firms with less information available tend to have a bigger difference in returns between value and growth stocks. This suggests that the value premium is driven by the market reacting to new earnings information.