We study the market reaction of Australian firms issuing management earnings forecasts (MEF). Specifically, we measure and distinguish between the immediate and post-earnings announcement impact of MEF. Our analysis is conditioned on growth/value characteristics and news surprise and we test for...

We study information flows between earnings and forecasts, using suitably adapted Granger causality tests. This approach complements existing cross-sectional studies by abstracting from stock market reactions to information, and focussing on dynamic interactions between information flows...

Using multiple discriminant analysis, we construct an index that measures firms' external financial constraints in an Australian setting. We form portfolios of firms based on our financial constraints index and find that financially constrained firms earn lower return than their unconstrained...

Givoly (1985) provides formal evidence on the relation between the past history of earnings and their own forecast. Our study uses a new methodology, modified Granger causality tests, to further analyze the information flows between earnings and forecasts. Our application of this widely...

In this paper, we examine the asset-pricing role of liquidity (as proxied by share turnover) in the context of the Fama and French (1993) three-factor model. Our analysis employs monthly Australian data, covering the sample period from 1990 to 1998. The key finding of our research is that the...

We document further evidence of the potential profitability of short-term contrarian investment strategies using Australian data. Such profits are robust to two portfolio weighting schemes, bid-ask bounce, risk, seasonality and volume. When transaction costs are introduced, the profitability...

We revisit the role of default risk in asset pricing. The detail of our dataset allows us to undertake this analysis on a previously ignored segment of the market - microcap stocks, allegedly vulnerable to default risk. The cross-equation restrictions in our baseline models are rejected, but the...

We examine the relationship between corporate governance and management earnings forecasts. We extend the prior literature by examining the impact of independent director reputation on characteristics of management forecasts, by refining the previously used proxy for director independence and by...

Recent studies find evidence that small funds outperform large funds. This fund size effect is commonly hypothesized to be caused by transaction costs. Due to the lack of transactions data, prior studies have investigated the transaction costs theory indirectly. Our study, however, analyzes the...