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When Two Anomalies Meet: The Post-Earnings Announcement Drift and the Value-Glamour Anomaly

blog.edarchimbaud.com

When Two Anomalies Meet: The Post-Earnings Announcement Drift and the Value-Glamour Anomaly

edarchimbaud
Sep 6, 2023
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When Two Anomalies Meet: The Post-Earnings Announcement Drift and the Value-Glamour Anomaly

blog.edarchimbaud.com
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Original paper

SSRN-id2601173.pdf

Trading rules

  • Investment universe includes stocks from NYSE, AMEX, and NASDAQ.

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