Prior research suggests that various financial anomalies are related to investors' inability to process historical earnings and price information. In particular, analysts' failure to incorporate appropriately the serial correlation in earnings surprises provides at least a partial explanation...

This study finds that stock return volatility is higher during periods of high tax policy uncertainty (TPU), even after controlling for other sources of general macroeconomic uncertainty. Further, we find that the relation between TPU and stock return volatility is more pronounced where firms...

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...