The implied cost of capital (ICC), the internal rate of return that equates speculative stock price to discounted expected future dividends, includes a mispricing-driven component in addition to expected return. The estimated relation of a mispricing-associated factor (X) with ICC is thus a...

We provide the first large-scale study of the performance of expected-return proxies (ERPs) internationally. Analyst-forecast-based ICCs are sparsely populated and not robustly associated with future returns. Earnings-model-forecast-based ICCs are well-populated, but are unreliable outside the...

Using monthly data from 01/1985 to 12/2012, we find that the accounting valuation-based predictor introduced in Lee, Myers, and Swaminathan (1999) has excellent in-sample and out-of-sample predictive performance. Our finding suggests that the accounting valuation-based predictor does not suffer...

The performance of analysts’ forecasts has attracted increasing attention in recent years. However, as yet, no empirical study has investigated the nexus between the analyst forecast dispersion (AFD) and excess returns surrounding stock market crashes in any depth. This paper attempts to fill...

Measures of a firm's financial strength forecast stock returns. The relation between financial condition and future returns, however, is consistent with two explanations: (1) changes in investors' expectations are impounded gradually over time and, (2) riskier firms - with higher discount rates...

We reexamine the time-series properties and determinants of the relation between aggregate earnings and returns (earnings response coefficient, ERC) employing return decompositions with longer historical data. We find that aggregate ERC is time-varying, above and beyond the evidence documented...

In this paper, I empirically test the conservatism effect of Barberis, Shleifer and Vishny (1998). Conditioning on a shock to quarterly earnings, firms ranking in the top (bottom) earnings shock quintile exhibit substantial price momentum over the next three-month periods following the initial...

The prevailing view of implied volatility comovements, IVC, defined as the correlation between a firm's implied volatility and the market's implied volatility, is that they indicate the presence of systematic volatility risk to the firm's investors. We take a different stance and conjecture that...

Using combinations of weekdays and times of day (before, during, and after trading hours) of earnings announcements, we examine whether managers attempt to strategically time these announcements. We document that the worst earnings news is announced on Friday evening and find robust evidence...

We provide evidence that an option implied volatility-based measure predicts future absolute excess returns of the underlying stock around earnings announcements and annual meetings of shareholders, even after controlling for the realized stock return volatility shortly before these information...