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1、±±±±±±±±±±±±±±±±±±±BEHAVIORAL±±±±±±CHAPTER±±±±13±±±±EXPLANATIONSFOR±ANOMALIES13.1INTRODUCTIONInChapter4,wereviewedsomekeyanomalies.Recallthatanomaliesaredefinedasempiricalresultsthat,unlessadequatelyexplained,seemtoruncountertomar-ketefficiency.Thesekeyanom
2、aliesreviewedwere:1)thesmall-firmeffect;2)laggedreactionstoearningsannouncements;3)valueversusgrowth;and4)mo-mentumandreversal.Inthischapterwediscusspossibleexplanationsforthelastthreeanomalies.Thesmall-firmeffectisnotusuallyattributedtobehavioralfac-tors.Y
3、et,itisincludedinthegroupofkeyanomaliesbecauseitplaysacentralroleintheFama-Frenchthree-factormodel,whichhasbecomeaconventionalrisk-adjustmenttechnique.Webegin,inSection13.2,withadiscussionoflaggedearningsannouncementsandofthetendencyforvaluetooutperformgrow
4、th.InSection13.3,weturntomomentumandreversal.Threealternativebehavioralmodelsformomentumand/orreversalaresketchedout.AsdiscussedinChapter4,testsofmarketefficiencyarebytheirverynaturejointhypothesistests,withrejectionimplyingeitherineffi-ciencyoraninappropri
5、aterisk-adjustmentmethod(orperhapsboth).Withthisperspectiveinmind,inSection13.4,weconsiderwhetherappropriateriskadjust-mentcanaccountforapparentanomalies.13.2EARNINGSANNOUNCEMENTSANDVALUEVS.GROWTHWHATISBEHINDLAGGEDREACTIONSTOEARNINGSANNOUNCEMENTS?Recallthat
6、extremeearningsannouncements,whetherverypositiveorverynega-tive,areonlyincompletelyreflectedinprices,leadingtoaperiodofdelayedreac-tion.Whatmaypartlyexplainthisevidenceofpost-announcementdriftisthatitseemsthatbothanalystsandinvestorsanchoronrecentearnings,i
7、mplyingthat219220CHAPTER13theyunderreacttonewinformation.Forexample,ValueLineanalysts’quarterlyearningsforecasterrors(orsurprises)arepositivelycorrelatedoverthefirstthree1lags,whichmeanstheypredictablyhavethesamesignbecauseofunderreaction.Consistentwithabeh
8、avioralexplanationisevidenceshowingthatamonginvestorsitisprimarilysmall(unsophisticated)traderswhoexhibitthetypeofbehaviorthat2leadstopost-earningsannouncementdrift.Concurrentwithunderreactionintheshor
