... underperformance is a general phenomenon that is independent of stocks being identified, ex-ante, as lottery-like. With an event study approach, we also find that the average high MAX event cumulative abnormal return pattern is indicative of overreaction embedded within high MAX returns. ^* We...

...Joseph Gerakos; Juhani T. Linnainmaa Daniel and Titman (2006) propose that the value premium is due to investors overreacting to intangible information. They therefore decompose five-year changes in firms’ book-to-market ratios into stock returns and a residual that is a proxy for tangible...