Over the past 12 years, financial analysts across the world have been optimistically wrong with their 12-month earnings forecasts by 25.3%. This study may be the first of its kind to assess analyst earnings forecast accuracy at all listed companies across the globe, covering 70 countries. A...

Theoretical models of trade (Dontoh and Ronen, 1993; Holthausen and Verrecchia, 1990; Karpoff, 1986; Kim and Verrecchia, 1997; and Varian, 1989) show that information-based trading is a consequence of four fundamental determinants: heterogeneous prior beliefs, differential interpretations, the consensus effect,...

We analyze the quality of forward-looking information in the management reports (MR) of listed German corporations and the impact of differences in that quality on analysts' behaviour. For several years, German corporations are bounded to provide forward-looking information separately for the...

What is the link between stock returns and news about economic growth? Using consensus forecasts from the Philadelphia Fed's Survey of Professional Forecasters, I find that the univariate association between stock returns and GDP growth forecast surprises is indistinguishable from zero. While...

Our study explores how managerial stock holdings and option holdings affect CEOs' income smoothing incentives. Given the different roles of stock holdings and option holdings in solving agency problems, managers may smooth past earnings using discretionary accruals for the purpose of revealing...

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...

Using a novel dataset, we show that components of firms' GAAP earnings stemming from ancillary business activities or transitory shocks are significant in frequency and magnitude. These components have grown over time and are dispersed across various sections of the 10-K. Excluding them from...

We extend Jin and Myers’ (2006) model to derive the relation between stock price crash risk and operating leverage (i.e., the fraction of fixed costs in total costs). The model predicts that (i) firms’ operating leverage decreases as stock price crash risk increases, and (ii) the negative...

The trading of securities on multiple markets raises the question of each market's share in the discovery of the informationally efficient price. We exploit salient distributional features of multivariate financial price processes to uniquely determine these contributions. Thereby we resolve the...

We elaborate economic explanations for the time-varying risk of month, quarter and year base load electricity forward contracts traded on the Nord Pool Energy Exchange from January 2006 to March 2010. Daily risk quantities are generated by decomposing realized volatility in its continuous and...