While mainstream neoclassical finance ignores the role played by noise traders, a
significant amount of empirical evidence is available to show that noise traders are active …

This paper constructs a manager sentiment index based on the aggregated textual tone of
corporate financial disclosures. We find that manager sentiment is a strong negative …

Does limited attention among investors affect stock returns? We compare the response to
earnings announcements on Friday, when investor inattention is more likely, to the response …

This study uses 90 years of daily data on the Dow Jones Industrial Average to test for the
existence of persistent seasonal patterns in the rates of return. Methodological issues …

The mean return for stocks is positive only for days immediately before and during the first
half of calendar months, and indistinguishable from zero for days during the last half of the …

ABSTRACT Members of the Institutional Investor All‐American Research Team supply more
accurate earnings forecasts than other analysts when forecasts are matched by the …

This paper examines five seasonal patterns in stock markets of eighteen countries: the
weekend, turn-of-the-month, end-of-December, monthly and Friday-the-thirteenth effects. We …

Most asset pricing models postulate a positive relationship between a stock portfolio's
expected returns and risk, which is often modeled by the variance of the asset price. This …

A rational analysis of analyst behavior predicts that analysts immediately and without bias
incorporate information into their forecasts. Several studies document analysts' tendency to …

Brokerage house buy and sell recommendations influence stock prices. Short-term price
reaction is a function of the strength of the recommendation, the magnitude of the change in …