Using stock price, earnings estimate and accounting data for a broad sample of firms over the period June 1984 through December 2008, they find that:

• Value stocks are less volatile than growth stocks around earnings announcement dates.
• Value stocks exhibit much larger positive drifts than growth stocks after positive earnings surprises and positive earnings announcement abnormal returns.
• Growth stocks exhibit much larger negative drifts than value stocks following negative earnings surprises and negative earnings announcement abnormal returns.
• A trading strategy that is long value stocks with both positive earnings surprises and positive earnings announcement abnormal returns and short growth stocks with both negative generates annualized size-adjusted returns of 16.6% to 18.8% (before trading frictions). Most of the return comes from the long side.