We document that investors can actually profit from the contemporaneous link between earnings accuracy and recommendation profitability (Loh and Mian (2006)). Differentiating between 'able' and 'lucky' analysts we suggest an implementable, i.e. look-ahead bias free, trading strategy that yields...

Analysts providing more accurate earnings forecasts also issue more profitable recommendations. We demonstrate how investors can profit from this contemporaneous link by differentiating between able and lucky analysts. In line with previous studies, we find that past track records alone are not...

We study the predictive ability of individual analyst target price changes for post-event abnormal stock returns within each recommendation category. Although prior studies generally demonstrate the investment value of target prices, we find that target price changes do not cause abnormal...

We study the predictive ability of individual analyst target price changes for post-event abnormal stock returns within each recommendation category. Although prior studies generally demonstrate the investment value of target prices, we find that target price changes do not cause abnormal...

This article integrates the government in the context of company valuation. Our framework allows to analyse and to quantify the risk-sharing effects and conflicts of interest between the government and the shareholders when firms follow different financial policies. We provide novel evidence...

Bayesian learning provides the core concept of processing noisy information. In standard Bayesian frameworks, assessing the price impact of information requires perfect knowledge of news' precision. In practice, however, precision is rarely dis- closed. Therefore, we extend standard Bayesian...

Reliable estimates of variances and covariances are crucial for portfolio management and risk controlling. This paper investigates alternative methods to estimate time varying variance-covariance matrices: ordinary estimates and exponentially weighted moving averages in comparison to Markov...

We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high-frequency quote processes and their conditional variances. Bid and ask returns are decomposed into a common ('efficient return') factor and two market-side-specific components...

Several studies indicate that stock option plans are becoming more and more a substantial part of compensation schemes in U.S. companies. This paper shows the tax implications and accounting rules for stock option plans. By comparison of the tax and accounting rules for different compensation...

This paper delineates the simultaneous impact of non-anticipated information on first and second moments of the intraday price process by including appropriate variables accounting for the news flow into both the mean and the variance function. This allows us to differentiate between the...