Value vs. Glamour stock PEAD evaluation

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Value vs. Glamour stock PEAD evaluation

edited

Seeking Help Collaboration Request Research

Inspired by https://www.quantopian.com/posts/quantpedia-trading-strategy-series-reversals-during-earnings-announcements - I also thought to try to dive into another paper.

I would like to understand another paper that I have looked at - with http://www.bengrahaminvesting.ca/Research/Papers/When_Two_Anomalies_Meet.pdf
by Zhipeng Yan & Yan Zhao

Table 4

A trading strategy of taking a long position in value stocks when both EARs and earnings surprises are positive and a short position in glamour stocks when both are negative can generate 16.6% to18.8% annual returns.

Main findings

With our simulation where data overlap, we have evidence to show strong showing of the strategy, supporting a similar level of spread. However, when extending time period to more current time period, we often find that the advantage drops dramatically since 2009 (when draft of paper was published)

Asking for help

Would love to get some comments and suggestion on the research. I have used various approximation on the fundamental data that is provided by morning-star to approximate the data from the research, would like to know better suggestion on how to reproduce the data
Also, any ideas if there's still different way we could squeeze out something in recent years? I'm surprise that spread was squeezed out around 2009 so quickly after the paper is published (or maybe I shouldnt be)
Any other similar researches that we can apply the same framework for studying?

Thanks all!

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.