This study examines whether the application of an accounting fundamental strategy to select stocks of a portfolio can systematically yield significant and positive excess market buy-and-hold returns after one year of portfolio formation. Using financial statement information and the “direct...

We find a positive association between short-selling and accruals during 1988-2009, and that asymmetry between the long and short sides of the accrual anomaly is stronger when constraints on short-arbitrage are more severe (low availability of loanable shares as proxied by institutional...

This study tests whether naïve trading by individual investors, or some class of individual investors, causes post-earnings announcement drift (PEAD). Inconsistent with the individual trading hypothesis, individual investor trading fails to subsume any of the power of extreme earnings surprises...

Firms invest non-trivial resources to avoid paying taxes. One of the presumed incentives for doing so is that it should increase the value of the firm. Surprisingly, a large number of studies find that tax expense is positively related to stock returns, suggesting that paying more taxes is good...

We study the role of firm ambiguity on stock price reaction to earnings announcements. By using the firm's variance risk premium (VRP) prior to earnings news arrivals as a proxy for firm-level information ambiguity, we provide evidence that this “micro” form of ambiguity has a significant...

Psychological evidence indicates that it is hard to process multiple stimuli and perform multiple tasks at the same time. This paper tests the investor distraction hypothesis, which holds that the arrival of extraneous news causes trading and market prices to react sluggishly to relevant news...

Presentation Slides for "Overconfidence, Arbitrage, and Equilibrium Asset Pricing" This paper offers a model in which asset prices reflect both covariance risk and misperceptions of firmsapos prospects, and in which arbitrageurs trade against mispricing. In equilibrium, expected returns are...

We exploit differences in institutional and macroeconomic environments to shed light on what drives variation in the aggregate earnings-returns relation over time within the U.S. and across countries. We find that both intertemporal and cross-country variation in the aggregate earnings-returns...

The weak value-growth premium of the Spanish stock market highlights the importance of enhancing the accounting-based fundamental strength of the value-growth strategy. This accounting strength is needed to detect potential errors in market expectations that result in mispriced stocks. When we...

We show that the cost of trading on negative news, relative to positive news, increases before earnings announcements. Our evidence suggests that this asymmetry is due to financial intermediaries reducing their exposure to announcement risks by providing liquidity asymmetrically. This asymmetry...