This paper examines whether the differences in accounting information between stocks affect cross-asset return predictability. We use a comprehensive set of accounting variables and find that abnormal accruals, earnings smoothness, book-to-market, firm age, leverage, abnormal capital investment,...

type="main" xml:lang="en" <title type="main">Abstract</title> <p>We document a high-profile instance of mispricing that is puzzling given the gradual information diffusion hypothesis and the lack of obvious limits to arbitrage. An internet search in 2008 led to a story about United Airlines’ 2002 bankruptcy being...</p>