We investigate the use of machine learning (ML) and other robust-estimation techniques in event studies conducted on single securities for the purpose of securities litigation. Single-firm event studies are widely used in civil litigation, with billions of dollars in settlements hinging on the...

An introduction to common fixed income instruments and mathematics, this book offers explanations, exercises, and examples without demanding sophisticated mathematics. Not only does the author use his business and teaching experience to highlight the fundamentals of investment and management...

This paper examines whether sell-side security analysts follow momentum or create momentum by themselves for recommending stocks. We employ an indirect method of testing the role of analysts by assigning projected recommendation scores for the neglected stocks to mitigate the so-called...

Researchers have struggled to find rational risk factors that explain momentum profits derived from buying prior winners and shorting prior losers. Behavioral explanations have been offered that focus on tendencies of investors to underreact to news and recommendations. Our study provides an...

In this paper, we use stock price data between the years 2007 and 2010 to investigate the allocation of assets on the GSE. The Classical Markowitz optimization method shows that, the most profitable portfolio is obtained by investing 90% of wealth in non-financial assets and 10% in financial...

We examine the spillover effects of the Global Analyst Research Settlement (or Global Settlement) on analysts' earnings forecasts in 40 developed and emerging markets. Prior to the Global Settlement, analysts generally made overly optimistic forecasts, this bias tending to be higher in countries...

This study examines the responses of investor sentiment and stock market returns to announcements of changes in analyst recommendation as well as the effect of these announcements on the relationship between sentiment and stock returns. Investor sentiment is more sensitive to upgrade...