Several authors have reported an unconditional size effect in returns around earnings announcements. In this study we show how this finding can be understood as resulting from ambiguity aversion. We hypothesize that analyst forecasts for smaller companies are relatively more ambiguous; hence...

Using a sample of 1,619 commercial banks from 82 countries we investigate the impact of financial consumer protection policies on bank profit efficiency estimated with a production frontier function. Our results show that more regulatory requirements decrease bank profit efficiency. We confirm...

This paper investigates the existence of contrarian profits and the sources of these profits, for the Athens Stock Exchange (ASE). The empirical analysis decomposes contrarian profits to sources due to common factor reaction, overreaction to firm-specific information, and profits not related to...