No firm-specific performance measure is more widely reported, followed, and analyzed than
accounting earnings. Thus, although claims of incomplete initial stock price reactions to …

This study documents an association between changes in institutional ownership during a
calendar quarter and abnormal returns at the time of subsequent announcements of …

Although researchers have documented gains from insider trading, the sources of private
information leading to information asymmetry and insider gains have not been …

Evidence presented here is consistent with a failure of stock prices to reflect fully the
implications of current earnings for future earnings. Specifically, the three-day price …

We examine whether the predictability of future returns from past returns is due to the
market's underreaction to information, in particular to past earnings news. Past return and …

Most empirical studies of the static CAPM assume that betas remain constant over time and
that the return on the value‐weighted portfolio of all stocks is a proxy for the return on …

We provide evidence that stocks with higher dispersion in analysts' earnings forecasts earn
lower future returns than otherwise similar stocks. This effect is most pronounced in small …

This paper performs a financial statement analysis that combines a large set of financial
statement items into one summary measure which indicates the direction of one-year-ahead …

This paper develops a revealed preference theory for the equity premium around
macroeconomic announcements. Stock returns realized around pre‐scheduled …

A highly controversial issue in financial economies is whether stocks overreact. In this paper
we find an economically-important overreaction effect even after adjusting for size and beta …