Contrarian investment, extrapolation, and risk

J Lakonishok, A Shleifer, RW Vishny - The journal of finance, 1994 - Wiley Online Library
… AEG ( ι , j ) is the geometric average growth rate of earnings for the portfolio from year i to
year j. ACG ( i , j ) and ASG ( i , j ) are defined analogously for cash flow and sales, respectively. …

Momentum strategies

…, N Jegadeesh, J Lakonishok - The Journal of …, 1996 - Wiley Online Library
We examine whether the predictability of future returns from past returns is due to the market's
underreaction to information, in particular to past earnings news. Past return and past …

Value and growth investing: Review and update

LKC Chan, J Lakonishok - Financial Analysts Journal, 2004 - Taylor & Francis
… study—one by Chan, Hamao, and Lakonishok. Their contribution was to study the Japanese
… The Chan–Hamao–Lakonishok findings take on added force in light of conditions in the …

Earnings quality and stock returns

K Chan, L Chan, N Jegadeesh, J Lakonishok - 2001 - nber.org
An exclusive focus on bottom-line income misses important information about the quality of
earnings. Accruals (the difference between accounting earnings and cash flow) are reliably, …

The impact of institutional trading on stock prices

J Lakonishok, A Shleifer, RW Vishny - Journal of financial economics, 1992 - Elsevier
This paper uses new data on the holdings of 769 tax-exempt (predominantly pension) funds,
to evaluate the potential effect of their trading on stock prices. We address two aspects of …

Simple technical trading rules and the stochastic properties of stock returns

W Brock, J Lakonishok, B LeBaron - The Journal of finance, 1992 - Wiley Online Library
This paper tests two of the simplest and most popular trading rules—moving average and
trading range break—by utilizing the Dow Jones Index from 1897 to 1986. Standard statistical …

Fundamentals and stock returns in Japan

LKC Chan, Y Hamao, J Lakonishok - The journal of finance, 1991 - Wiley Online Library
This paper relates cross‐sectional differences in returns on Japanese stocks to the underlying
behavior of four variables: earnings yield, size, book to market ratio, and cash flow yield. …

Market underreaction to open market share repurchases

D Ikenberry, J Lakonishok, T Vermaelen - Journal of financial economics, 1995 - Elsevier
We examine long-run firm performance following open market share repurchase
announcements, 1980–1990. We find that the average abnormal four-year buy-and-hold return …

Measuring abnormal performance: do stocks overreact?

N Chopra, J Lakonishok, JR Ritter - Journal of financial Economics, 1992 - Elsevier
A highly controversial issue in financial economies is whether stocks overreact. In this paper
we find an economically-important overreaction effect even after adjusting for size and beta. …

The stock market valuation of research and development expenditures

LKC Chan, J Lakonishok… - The Journal of finance, 2001 - Wiley Online Library
We examine whether stock prices fully value firms' intangible assets, specifically research
and development (R&D). Under current US accounting standards, financial statements do not …