Louis Chan and Josef Lakonishok are from the College of Commerce and Business Administration, University of Illinois at Urbana-Champaign. Yasushi Hamao is from the Graduate School of International Relations and Pacific Studies, University of California, San Diego. The article has been presented at Purdue University, the University of California at Irvine, the Stockholm School of Economics, the London Business School, INSEAD, the CRSP Seminar on the Analysis of Security Prices at Chicago, and the Berkeley Program in Finance in Tokyo. The authors appreciate helpful comments by Bill Bryan, Nai-Fu Chen, Don Keim, Claudio Loderer, Jay Ritter, Dennis Sheehan, Neal Staughton, and Yuk Tse, and are grateful to Takeo Hoshi and Bing Yeh for their help with data collection and to Brian Bielinski for research assistance.