Download or read book When Two Anomalies Meet written by Zhipeng Yan and published by . This book was released on 2015 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study of the post-earnings announcement drift and the value-glamour anomaly finds that value stocks have greater information uncertainty, exhibit more-muted initial market reactions to earnings surprises, and have better (more positive or less negative) post-earnings announcement drifts than do glamour stocks. A trading strategy based on these findings can generate an average annual abnormal return of 16.6-18.8 percent before transaction costs.