trading around quarterly earnings announcements is either directionally motivated and/or volatility motivated. We found … evidence that is consistent with the idea that option investors have private information prior to positive earnings …

have prices become more informative? Using stock and bond prices to forecast earnings, we find that the information content … of market prices has not increased since 1960. The magnitude of earnings surprises, however, has increased. A baseline … strongly with future earnings. The forecastable component of earnings improves capital allocation and serves as a direct …

trading around quarterly earnings announcements is either directionally motivated and/or volatility motivated. We found … evidence that is consistent with the idea that option investors have private information prior to positive earnings …

We find that the firms included in the S&P 500 index are characterized by large increases in earnings, appreciation in …

have prices become more informative? Using stock and bond prices to forecast earnings, we find that the information content … of market prices has not increased since 1960. The magnitude of earnings surprises, however, has increased. A baseline … strongly with future earnings. The forecastable component of earnings improves capital allocation and serves as a direct …

the aggregate-level findings in US, earnings yield forecasts the time-series of aggregate stock returns in emerging … markets. We consider aggregate earnings not as normalizing variables for stock price but as predictive variables in their own … right. Aggregate earnings themselves covary with the market returns, hence it is not just the mean reversion of stock prices …

This is the first study to examine the post-earnings-announcement drift anomaly in a Real Estate Investment Trust (REIT …) context. The efficient markets hypothesis suggests that unexpected earnings should be fully incorporated into asset prices … soon after being publicly announced. We hypothesize that publicly announced earnings signals may be more certain for REITs …

This paper provides an analysis of the predictability of stock returns using market, industry, and firm-level earnings …. Contrary to Lamont (1998), we find that neither dividend payout ratio nor the level of aggregate earnings can forecast the … sample periods. In contrast to the aggregate-level findings, earnings yield has significant explanatory power for the time …

This study examines the extent to which analyst recommendations were useful in identifying earnings surprises during … subsequent earnings surprises suggests a significant decline in the predictive value of analysts' recommendations after … Regulation FD took effect. Recommendation revisions are roughly 55 percent less useful in predicting earnings surprises in the …

We show that immediate and delayed abnormal returns following earnings announcement surprises differ across market … states. Immediate abnormal returns are more sensitive to earnings surprises in down markets, while delayed abnormal returns …