We document a strong negative relationship between the growth of total firm assets and subsequent firm stock returns using a broad sample of U.S. stocks. Over the past 40 years, low asset growth stocks have maintained a return premium of 20% per year over high asset growth stocks. The asset...

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 document a new pattern in stock returns that we call absolute strength momentum. Stocks that have signifi cantly increased in value in the recent past (absolute strength winners) continue to gain, and stocks that have signifi cantly decreased in value (absolute strength losers) continue to...