Systematic mispricing primarily affects speculative stocks and predominantly results in overpricing, predicting lower average returns. Because speculative stocks overlap with stocks deemed risky by rational models, failing to control for exposure to systematic mispricing can bias tests of...

Many studies have documented that analyst forecasts are overly-optimistic on average. Using quarterly observations from 1984 to 2002, this paper shows that forecasts exhibit optimism for most of the quarters under examination, but the level of optimism varies substantially over time. More...

We find evidence that hedge funds significantly manipulate stock prices on critical reporting dates. We document that stocks held by hedge funds experience higher returns on the last day of the quarter, followed by a reversal the next day. For example, the stocks in the top quartile of hedge...

We examine the performance of the buy-write option strategy (BWS) on the Australian Stock Exchange and analyse whether such an investment opportunity violates the efficient market hypothesis on the basis of its risk and returns. This study investigates the relationship between buy-write...

In this paper, we study whether firm intangible information affects analyst behavior. We find direct evidence that when analysts make more judgment-intensive decisions, such as issuing stock recommendations, they overweight intangible information, leading to overreaction to intangible...

This study presents evidence suggesting that investors do not fully unravel predictable pessimism in sell-side analysts' earnings forecasts. We show that measures of prior consensus and individual analyst forecast pessimism are predictive of both the sign of firms' earnings surprises and the...

I investigate whether or not the multi-period trades of financial institutions cause mispricing in the stock market. After controlling for the magnitude and trends in institutional trades, I find evidence consistent with institutional trades pushing prices away from fundamentals. Stocks heavily...

One of the most popular investment anecdotes relates how Isaac Newton, after cashing in some large early gains, staked his fortune on the success of the South Sea Company of 1720 and lost heavily in the ensuing crash. However, this tale is based on only a few scraps of hard evidence, some of...

We document that the stock market's reaction to unscheduled firm-specific news such as credit rating downgrades and 8-K filings is significantly weaker during December as compared to other months. In contrast, the market's reaction to scheduled earnings announcements is not significantly...

This paper shows that analysts' herding forecasts are accompanied by significant return reversals of 116 basis points per month, while anti-herding forecasts render reversals insignificant. These results are magnified among illiquid stocks and during high VIX months. Since analyst herding is...