Fundamental analysis involves the use of accounting data to predict future stock returns, future stock prices, or both. One aspect of such research is whether accounting information can be used to generate profitable portfolio strategies. Central to this style of fundamental analysis, is the...

Almost all studies on research and development (R&D) activity are based on US and British companies, and most of them show that this activity positively influences both stock returns and corporate value. This empirical study evaluates the effects of R&D on stock returns for a sample of listed...

This study empirically examines the role of risk sharing between taxable investors and the government on the relation between capital gains taxes and expected returns. Specifically, using an international panel from 26 countries over the period 1990 to 2004, we find evidence that the general...

Closed-end country funds are interesting in that they have two sets of prices for the same underlying assets – the net asset value (NAV) of the fund holdings as measured using the underlying firms' stock prices in their home markets and the fund price at which the fund trades on a U.S. stock...

This paper investigates the driver of asset growth to explain the cross-country variation of the asset growth effect. We find that institutional restrictions on equity financing constrain firms' abilities to grow assets, and the degree of such restrictions is associated with the observed...

This study empirically examines the role of risk sharing between taxable investors and the government on the relation between capital gains taxes and expected returns. Specifically, using an international panel from 26 countries over the period 1990 to 2004, we find evidence that the general...

We explore the effects of tax avoidance and tax risk on stock return volatilities of U.S. firms. We find that firms with very low and very high levels of tax avoidance and firms with high levels of tax risk have more volatile stock returns. We observe that tax avoidance primarily affects stock...

Kothari, Lewellen and Warner (2006) document that in the U.S. market aggregate earnings changes are negatively related to contemporaneous market returns. This is puzzling given the well-documented evidence that firm-level earnings changes are positively related to stock returns. In this study we...

Compared with other developed stock markets, the Chinese stock market has a unique informational and trading environment. Given this unique environment, we find that intangible information (which is orthogonal to past accounting information) and arbitrage risk are potential sources of the value...

Many studies report that the size effect in the cross-section of stock returns disappeared after the early 1980s. This paper shows that its disappearance can be attributed to negative shocks to the profitability of small firms and positive shocks to big firms. After adjusting for the price...