Private equity is a substantial and growing component of institutional investors’ portfolios. Investors rely on manager-reported fund performance when making capital allocation decisions, yet reported performance is subject to significant manager discretion. I examine whether private equity...

Recent research finds that investors, broadly defined, react to the linguistic tone of quarterly earnings conference calls; there is a positive relation between firms' stock returns and call tone (a measure of “sentiment” related word tabulations). However, this type of soft information can...

Quarterly earnings conference calls are becoming a more pervasive tool for corporate disclosure. However, the extent to which the market embeds information contained in the tone (i.e. sentiment) of conference call wording is unknown. Using computer aided content analysis, we examine the...

The arrival of new, unfamiliar, investment opportunities is often associated with "exuberant" movements in asset prices and real economic activity. During these episodes of high uncertainty, financial markets look at the real sector for signals about the profitability of the new investment...

We examine whether activists exhibit persistent cross-sectional performance differences in identifying targets to short. We find no evidence of performance persistence using target returns, consistent with Ljungqvist and Qian (2016), but document that the current target is more likely to delist...

This study examines the association between a firm's fundamental factors and stock returns as well as how investor sentiment influences the association between these variables. The fundamental factors analyzed include accounting variables (earnings yields, change in profitability, and capital...

Many previous studies document a positive relation between research and development (Ramp;D) and equity value. Though Ramp;D can increase equity value by increasing firm value, it can also increase equity value at the expense of bondholder wealth through an increase in firm risk because equity...

We explore the possibility that overnight returns can serve as a measure of firm-specific investor sentiment by analyzing whether they exhibit characteristics expected of a sentiment measure. First, we document short-term persistence in overnight returns, consistent with existing evidence of...

The literature on ‘cash flow' or ‘earnings' beta is theoretically well-motivated in its use of fundamentals, instead of returns, to measure systematic risk. However, empirical measures of earnings beta based on either log-linearizing the return equation or log-linearizing the clean-surplus...

Prior literature suggests that stock prices lead earnings in reflecting value-relevant information because accounting income incorporates information discretely to satisfy recognition principles while stock prices incorporate it continuously. Using the future earnings response coefficient (FERC)...