The literature on stock return predictability has identified macroeconomic and technical predictors that when combined, leads to out-of-sample outperformance relative to the historical mean null. This paper investigates a new method for aggregating information beyond using forecast combination...

Prior research generally reports a positive relationship between firm-level accounting earnings surprises and contemporaneous stock prices, indicating that accounting earnings carry value-relevant information. Recent studies, however, show that investors respond negatively to unexpected changes...