News and sentiment in news often influence financial markets and asset prices. While this is well-recognized by investors, only few studies have used sentiment in news to predict future developments in financial markets to formulate alpha generating strategies, let alone create a best practice...

This paper is an empirical investigation of the relation between the dispersion on analysts' earnings forecasts and the future performance following a change in the nominal price of shares. On a sample of US splits occurred from 1993 to 2013, we observe a change in the distribution of analysts'...

This paper shows investors' lottery preference can attenuate price underreaction to extreme good earnings news. Such news reaffirms investors' preference for stocks with strong ex ante lottery-like features, thereby accelerating price adjustments. We find that PEAD attenuates for stocks with...

Using a unique database this study establishes a relationship between firm-specific investor sentiment and stock price movements around earnings announcements. We find that firm-specific investor sentiment is a key determinant of price adjustment in the context of an earnings surprise....

Using a large panel of U.S. accounts trades and positions, we show that retail investors trade as contrarians after large earnings surprises, especially for loser stocks, and such contrarian trading contributes to post earnings announcement drift (PEAD) and momentum. Indeed, when we double-sort...

In this paper, I take a novel approach in explaining the relation between news and stock market returns. While prior research stemming from Tetlock, Saar-Tsechansky, and Macskassy (2008) focused on textual sentiments (sentiments) in news about a firm in the absolute, i.e., in isolation and...

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 are less sensitive; underreaction is attenuated in down...

Efficient Market Hypothesis states that financial markets react instantaneous and unbiased to new information. However, in the last decades empirical researches revealed some anomalies in investors reactions to the events that caused shocks on the financial markets. There are two main hypotheses...

As illustrated in the tale of “the dog that did not bark,” the absence of news and the passage of time often contain information. We test whether markets fully incorporate this information using the empirical context of mergers. During the year after merger announcement, the passage of time...

Using hand-collected TV programming data and intra-day trading from China, we compare the trading, liquidity, and returns of on-show and off-show stocks in the same sector. Our difference-in-difference analysis reveals that post-show, off-show stocks experience significant improvements in...