The vast majority of U.S. public firms announce earnings in the post-close (between the closing bell and midnight, or PC) or the pre-open (between midnight and the opening bell, or PO). Prior literature generally treats PC and PO announcements as equivalent when measuring the market reaction to...

Firms make forward-looking decisions. We provide evidence that managers' investment decisions contain news about future aggregate conditions. This information is best extracted by dimension-reduction techniques. We appeal to news-driven business cycle theory to explain our result, suggesting...

This study generates out-of-sample predictions from training data to construct investment portfolios that are mean-variance optimized and rebalanced daily to assess gains from incorporating signals based on post-earnings announcement drift (PEAD), the earnings announcement premium (EAP), and...