During the recent financial crisis, there was a dramatic spike, across all industries, in the volatility of individual firm share prices after adjustment for movements in the market as a whole. In this Article, we demonstrate that a similar spike has occurred with each major downturn in the...

This paper examines the 225 banks that failed between February 2, 2007, and April 23, 2010, comparing them to a random sample of banks that had not failed as of April 23, 2010. We performed regression and discriminant analysis on quarterly call report data for one year, two years, three years,...

This article analyzes the manifold situations in which the efficient-market hypothesis (EMH) has influenced — or has failed to influence — federal securities regulation and state corporate law, and the prospective roles for the EMH in these contexts. In federal securities regulation, the EMH...

While levels of actual and consensus forecast earnings per share (EPS) vary with scale (measured typically by share price), magnitudes of the difference do not vary with scale. That is, forecast errors within a certain range (e.g., plus/minus 5 cents per share) are equally likely for both...

We survey the textual sentiment literature, comparing and contrasting the various information sources, content analysis methods, and empirical models that have been used to date. We summarize the important and influential findings about how textual sentiment impacts on individual, firm-level and...

While takeover targets earn significant abnormal returns, studies tend to find no abnormal returns from investing in predicted takeover targets. In this study, we show that the difficulty of correctly identifying targets ex ante does not fully explain the below-expected returns to target...

This research applies findings from the field of factor investing to address the question of what drives private equity deal returns. I provide empirical evidence that the most comprehensively documented factor anomalies have explanatory power of cross sectional variations in returns of private...

The state of the art in the analyst forecasting literature is that analyst earnings forecast ability is only firm-specific (Chen, Francis, and Jiang (2005); Chen and Jiang (2006)). This view is based on Park and Stice's (2000) finding of the absence of a “spillover” effect, i.e., investors...

We investigate the extent to which market participants use compensation payouts released in the DEF 14A proxy statement (DEF14A) to assess future firm performance by examining sell-side analysts' earnings forecasts. Consistent with prior work, we confirm that CEO compensation unexplained by...

While brokerage houses use both teams of sell-side analysts and individual analysts to conduct earnings research, there is no empirical research examining if teams and individuals differ with regard to their forecasting performance or purpose, and if so, how and why. We first examine the...