Using 13 years of intraday data for U.S. stocks, we find a strong tendency for positive returns during the overnight period followed by reversals during the trading day. This behavior is driven by an opening price that is high relative to intraday prices. We find this temporary price inflation...

This study shows that the recent trajectory of a firm's profits predicts future profitability and stock returns. The predictive information contained in the trend of profitability is not subsumed by the level of profitability, earnings momentum, or other well-known determinants of stock returns....

Unusually high aggregate stock trading volume in one week predicts higher excess market returns in the following week, especially when accompanied by high market volatility. This predictive relation is robust across alternative measures of aggregate trading volume. In out-of-sample forecasting...