This paper shows that in asset pricing the information environment gives rise to a systematic risk factor when the informativeness of future news events varies with their content (i.e., bad news and good news are not equally informative). The paper further shows that in such cases (cross) serial...

Aggregate stock market returns display negative skewness. Firm-level stock returns display positive skewness. The large literature that tries to explain the first stylized fact ignores the second. This paper provides a unified theory that reconciles the two facts by explicitly modeling...

This paper investigates whether the business press serves as an information intermediary. The press potentially shapes firms' information environments by packaging and disseminating information, as well as by creating new information through journalism activities. We find that greater press...

The short term and long term stock price volatility changes around bonus and rights issue announcements have been examined using historical volatility estimation and time varying volatility approach. The results show that the historical volatility has increased after bonus and rights issue...

This paper investigates market-level and private investor trading patterns and performance around earnings announcements. We document clear evidence for abnormal trading around earnings announcements for both the entire market and households in Germany and observe that private investor...

We construct a sentiment index with the incorporation of representative proxies in the Taiwan Stock Market and investigate the application of a cross-section of stock returns. The major contribution of the study is that the huge Chinese financial news related to each listed stock is collected...

We document that textual discussions in a sample of 363,952 analyst reports provide information to investors beyond that in the contemporaneously released earnings forecasts, stock recommendations, and target prices, and also assist investors in interpreting these signals. Cross-sectionally, we...

Aggregate stock market returns display negative skewness. Firm stock returns display positive skewness. The large literature that tries to explain the first stylized fact ignores the second. This article provides a unified theory that reconciles the two facts by explicitly modeling firm-level...

Research documents that linguistic tone is incrementally informative about stock returns. What remains a puzzle is the mechanism by which investors can assess its credibility. We examine whether contemporaneous information in management earnings forecasts serves as a timely alternative to ex...

This study examines short selling in stocks of firms that reveal partial earnings-related information prior to their eventual earnings announcements (EA). By decomposing short selling into two components where the first corresponds to the final partial earnings disclosure and the second captures...