Although many studies show that the presence of institutional investors facilitates the incorporation of accounting information into financial markets, the evidence of informed trading by institutions is rather limited in the extant literature. We address these inconsistent findings by proposing...

Der vorliegende Beitrag untersucht, ob der Mehrheitsaktionär einer Gesellschaft im Vorfeld eines Zwangsausschlusses von Minderheitsaktionären (sog. Squeeze-Out) versucht, die Kapitalmarkterwartungen negativ zu beeinflussen. Ein solches 'manipulatives' Verhalten wird häufig in der juristischen...

Der vorliegende Beitrag untersucht, ob der Mehrheitsaktionär einer Gesellschaft im Vorfeld eines Zwangsausschlusses von Minderheitsaktionären (sog. Squeeze-Out) versucht, die Kapitalmarkterwartungen negativ zu beeinflussen. Ein solches "manipulatives" Verhalten wird häufig in der juristischen...

We use earnings forecasts from a cross-sectional model to proxy for cash flow expectations and estimate the implied cost of capital (ICC) for a large sample of firms over 1968-2008. The earnings forecasts generated by the cross-sectional model are superior to analysts' forecasts in terms of...

We investigate the joint hypothesis that a) tax expense contains information about core profitability that is incremental to reported earnings and b) that information is reflected in stock prices with a delay. We find that seasonally-differenced quarterly tax expense, our proxy for tax expense...

High-frequency trading has become a dominant force in the U.S. capital market, accounting for over 70% of dollar trading volume. This study examines the implication of high-frequency trading for stock price volatility and price discovery. I find that high-frequency trading is positively...

This paper exploits information contained in cross-sectional PEG ratios to extract estimates of the market's expectations for aggregate returns and economic fundamentals. By combining the loglinear present-valuation model and the Capital Asset Pricing Model (CAPM) logic, we establish a theoretic...

Prior research demonstrates that investors respond differently to earnings surprises that are part of a string of consecutive earnings increases or surprises than to those that are not. To shed light on who values these patterns, I compare trading responses of small and large traders to earnings...

We examine how the information produced by analysts when they initiate coverage contributes to the mix of firm-specific, industry-, and market-wide information available about the firm. We hypothesize that the first analyst to initiate coverage provides low cost market and industry information...

This paper shows that an important link between investor sentiment and firm overvaluation is optimistic earnings expectations, and that management earnings guidance aids in resolving sentiment-driven overvaluation. Using the firm characteristics identified by Baker and Wurgler (2006), we find...