(6) Holthausen and Larcker (1992) show that the Ou and Penman hypothesis
essentially adds noise to our understanding of the behavior of abnormal
returns, in the following sense. The hypothesis is that there is an unexploited
link from financial statement data to abnormal returns, via the unexploited
implications of that data for future earnings. Holthausen and Larcker test
the unexploited-implications hypothesis by correlating the financial-statement
data directly with abnormal returns, without any hypothesis about
earnings. The resulting strategy dominates the Ou and Penman strategy,