A test of the errors-in-expectations explanation of the value/glamour stock returns performance : avidence from analysts' forecasts

Deskripsi

Several empirical studies show that investment strategies that favor the purchase of stocks with low prices relative to conventional measures of value yield higher returns. Some of these studies imply that investors are too optimistic about ( glamour ) stocks that have had good performance in the recent past and too pessimistic about ( value ) stocks that have performed poorly. We examine whether investors systematically overestimate ( underestimate ) the future earnings performance of glamour (value) stocks over the 1976 to 1997 period..Printed Journal