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 evaluate the influence of measurement error in analysts' forecasts on the accuracy of implied cost of capital estimates from various implementations of the ‘implied cost of capital' approach, and develop corrections for the measurement error. We document predictable error in the implied...

This paper analyzes the life cycles of hedge funds. Using the Lipper TASS database it provides category and fund specific factors that affect the survival probability of hedge funds. The findings show that in general, investors chasing individual fund performance, thus increasing fund flows,...

This paper investigates the dynamics of hedge fund returns and their behavior of persistence in a unified framework through the Markov Switching ARFIMA model of Härdle and Tsay (2009). Major results based on the CSFB/Tremont hedge fund indexes monthly data during the period 1994-2011, highlight...

I estimate a theory-based behavioral momentum using analysts' predictable underreaction (APU) as a proxy for newswatchers underreaction. The results show that APU strongly predicts analysts' errors and, more importantly, stock returns. A long-short strategy based on APU generates a...

We examine the out-of-sample performance of 240 stock market anomalies enhanced by 49 machine learning algorithms and over 260 individually trained models across an international data sample of nearly 1.9 billion stock-month-anomaly observations from 1980 to 2019. We demonstrate significant...

We examine the role of concurrent information in the striking increase in investor response to earnings announcements from 2001 to 2016, as measured by return variability and volume following Beaver (1968). We find management guidance, analyst forecasts, and disaggregated financial statement...

We investigate the relation between two market anomalies to provide insights into analysts' role as information intermediaries. Prior research finds that accruals and analyst earnings forecast revisions predict future returns. We find that the accrual and forecast revision strategies generate...

This study investigates the presence of calendar anomalies (January Effect; Day of the Week Effect; Turn of the Month Effect) on the daily returns at Istanbul Stock Exchange (ISE) real estate investment trusts (REIT) market. Although there have been numerous studies in the finance literature on...

The primary purpose of this research is to examine real estate investment trust (REIT) risk-adjusted return performance versus the average performance of common stocks as measured by the Istanbul Stock Exchange (ISE). The sample for this study is composed of 8 REITs whose stocks were traded on...