We provide the first large-scale study of the performance of expected-return proxies (ERPs) internationally. Analyst-forecast-based ICCs are sparsely populated and not robustly associated with future returns. Earnings-model-forecast-based ICCs are well-populated, but are unreliable outside the...

The performance of analysts’ forecasts has attracted increasing attention in recent years. However, as yet, no empirical study has investigated the nexus between the analyst forecast dispersion (AFD) and excess returns surrounding stock market crashes in any depth. This paper attempts to fill...

Hirshleifer et al. (J. Account. Econom. 38 (2004)) and Taffler, Lu and Kausar (J. Account. Econom. 38 (2004)) document large and statistically significant abnormal returns from trading on balance sheet data and audit opinions. However, the statistical tests ignore high transactions costs,...

Using the Credit Rating Agency Reform Act of 2006, we examine the credibility of mandatory disclosure by credit rating agencies (CRAs) on managerial learning from stock prices. We find an increase in investment-price sensitivity for firms affected by the Act. Consistent with managers relying...

Using monthly data from 01/1985 to 12/2012, we find that the accounting valuation-based predictor introduced in Lee, Myers, and Swaminathan (1999) has excellent in-sample and out-of-sample predictive performance. Our finding suggests that the accounting valuation-based predictor does not suffer...

This paper uses the tools of computational linguistics to analyze the qualitative part of annual reports of UK listed companies. More specifically, the frequency of words associated with different language indicators is measured and used to forecast future stock returns. We find that two of...

In this study we examine the stock market's reaction to aggregate earnings news. Prior research shows that, in contrast to individual-firm earnings, a) stock markets' response to aggregate earnings surprise is negative, consistent with aggregate earnings news being predominantly informative...

Earnings management at the time of the IPO is an important issue and has captured considerable attention of academic literatures. However, there have been few studies testing earnings management in the context of market condition, and when financial intermediaries such as venture capital (VC)...

New media have markedly enhanced individuals' capacity to produce and disseminate original knowledge; however, the literature has not extensively examined the broad effects of such decentralized production processes. The current study thus focuses on a unique context — the stock market — in...