The simple happenstance of the overall stock market being up or down for the day can explain a substantial portion of the abnormal return attached to corporate news announcements. In particular, we demonstrate that firm-specific news announcements that are typically met with a positive stock...

We explore the distinguishing characteristics of firms that completed or stopped their repurchase programs. Our findings help further understanding the economic reasons why firms would stop buybacks. Based on our international sample of 818 completed and 101 stopped share repurchase programs...

We provide some new tools to evaluate trading strategies. When it is known that many strategies and combinations of strategies have been tried, we need to adjust our evaluation method for these multiple tests. Sharpe Ratios and other statistics will be overstated. Our methods are simple to...

I document an abnormal increase in the price of default insurance for target firms at the time of an activist hedge fund intervention, despite an abnormal decrease in expected default losses. After the intervention, credit spreads remain abnormally high for confrontational activist campaigns but...

In this research I study whether stock splits attract market's attention by exploring how investors are trading around event announcement dates. By employing high frequency intraday trading data from NYSE Trades and Quotes (TAQ) database I compute net abnormal buying around split announcements....

We document time varying investor sentiment for corporate social responsibility (“CSR”) performance. We show that announcements of CSR activities generate positive abnormal returns during periods when investors place a valuation premium on CSR performance. In addition, we find that firms...

We survey the textual sentiment literature, comparing and contrasting the various information sources, content analysis methods, and empirical models that have been used to date. We summarize the important and influential findings about how textual sentiment impacts on individual, firm-level and...

InvestorLit is a subscription service providing reviews of institutional investment literature. The reviews cover a wide range of investment topics and are published online. Bruce Grantier, founder of InvestorLit, is a member of the Brandes Institute Advisory Board. Members of the InvestorLit...

Passive investing, particularly in emerging markets, has become an increasingly popular means of quick, “diversified” exposure to a particular segment of the markets. Flows into passive emerging market products have been so strong that assets in exchange-traded funds (ETFs) designed to...

Using the details of vesting terms, we document that stock options granted in high sentiment periods tend to have shorter vesting period/duration, and are more likely to vest completely or have a significantly larger fraction vested within one year of the grant date relative to low sentiment...