Previous research finds that historical seasonal earnings rank negatively predicts stock returns surrounding earnings announcements (EAs) in China’s A-share markets. We examine whether management earnings forecasts (MEFs) help reduce the stock return seasonality associated with earnings...

We explore analysts' earnings forecast data to improve upon one popular disagreement measure — the analyst forecast dispersion measure — proposed by Diether, Malloy, and Scherbina (2002). Our analysis suggests that changes in the standard deviations of forecasted earnings can work as a...

On September 20, 2016, the Japan Securities Dealers Association implemented guidelines that prohibited securities sell-side analysts to obtain an earnings preview before the earnings' official release. We examine the unique impact of the guidelines on market behavior and analyst forecasts in the...

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...

Two ex-ante variables are introduced to characterize the analysts' biased behavior, namely the analysts' disagreement and self-selection in analysts' earnings forecasts. The study investigates the impact of the analysts' disagreement and self-selection on the stock returns. A theoretical...

Modern Portfolio Theory, the Capital Asset Pricing Model, and the Efficient Market Hypothesis are cornerstone concepts in both academic and professional curricula. In spite of their long history and reputation, the CAPM and its extensions do not yield satisfactory empirical results. We argue...

The literature about sell-side analysts (analysts) is broad. Nonetheless, little research has been done regarding how these sophisticate users of financial information disclosed current and target price in form of graph. More precisely, we try to investigate if analysts are prone to distort the...

Modern Portfolio Theory, the Capital Asset Pricing Model, and the Efficient Market Hypothesis are the cornerstone concepts in both academic and professional curricula. In spite of their long history and reputation, the CAPM and its extensions are not able to yield satisfactory empirical results....

This paper explores an unexamined sentiment channel through which technical analysis can add value. We use a spectrum of technical trading strategies to build a daily market sentiment indicator that is highly correlated with other commonly used sentiment measures. This technical-analysis-based...

Predictable biases in analyst forecasts, both conservative and optimistic, distort share prices, but only for firms with hard-to-forecast earnings---those with extreme past returns, credit risk, idiosyncratic volatility, and other attributes linked to 14 popular anomalies. The prevalence of...