The role of value in strategies based on anticipated earnings surprise - Identifying value stocks likely to perform well.

The author shows that the strategy of buying stocks where the most positive earnings surprises are expected is more effect-rye for high E/P (i.e., value) stocks than for low E/P (i.e., glamour) stocks. Conversely, the strategy of selling shea stocks where the most negative earnings surprises are expected is more. effective for low E/P stocks than for high E/P stocks. These results hold after controlling for firm size, forecast horizon, stock price momentum, and the number of analyst forecasts. To the extent that the results for strategies based on expected earnings surprises are driven by value stocks that react strongly to favorable information, the interpretation of the strategies' success may be that they are forms of value strategies.