We examine how the information produced by analysts when they initiate coverage contributes to the mix of firm-specific, industry-, and market-wide information available about the firm. We hypothesize that the first analyst to initiate coverage provides low cost market and industry information...

We show that analyst coverage proxies contain information about expected returns. We decompose analyst coverage into abnormal and expected components using a simple characteristic-based model and show that firms with abnormally high analyst coverage subsequently outperform firms with abnormally...

We extend prior research examining the relation between aggregate recommendation changes and future returns by documenting that this relation varies over time as a function of the predictability of future earnings growth. When industry-level earnings growth is more predictable, we find that...

Prior literature shows that earnings have come to explain less stock price movement over time, suggesting that firm fundamental information has become less important. In this paper, we replace earnings with earnings announcement returns as a measure of firm fundamental news and find that these...

Prior literature shows that earnings have come to explain less stock price movement over time, suggesting that firm fundamental information has become less important. In this paper, we replace earnings with earnings announcement returns as a measure of firm fundamental news and find that these...

The business press generally reports news in quarterly earnings announcements based on the difference between actual earnings and two salient benchmarks: earnings of the same quarter in the previous year, and a consensus drawn from a distribution of forecasts by financial analysts. We evaluate...

We study the use of firms' book-to-market ratios (B/M) in value investing and its implications for comovements in firms’ stock returns and trading volumes. We show B/M has become increasingly detached from common alternative valuation ratios over time while also becoming worse at forecasting...

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...

It is well established that value stocks outperform glamour stocks, yet considerable debate exists about whether the return differential reflects compensation for risk or mispricing. Under mispricing explanations, prices of glamour (value) firms reflect systematically optimistic (pessimistic)...

I provide evidence that investors systematically overweight analyst forecasts by demonstrating that prices do not fully reflect the predictable component of analyst forecast errors. This evidence conflicts with conclusions in prior research relying on traditional approaches to predicting analyst...