This paper is an empirical investigation of the relation between the dispersion on analysts' earnings forecasts and the future performance following a change in the nominal price of shares. On a sample of US splits occurred from 1993 to 2013, we observe a change in the distribution of analysts'...

Do firms conducting reverse splits underperform or overperform in the long run? To resolve this question we investigate the long-term returns following more than 5,000 reverse splits conducted in 24 developed equity markets between the years 1990 and 2016. Using the calendar-time portfolio...

Efficient Market Hypothesis states that financial markets react instantaneous and unbiased to new information. However, in the last decades empirical researches revealed some anomalies in investors reactions to the events that caused shocks on the financial markets. There are two main hypotheses...

I hypothesize that the stock market overreacts to management earnings forecasts because of the uncertainty surrounding them. I find that negative management forecast surprises lead to a –5.9% abnormal return around the forecast and a 1.9% correction in the 2-month period after earnings are...

Behavioral finance argues that some properties of asset prices are most reasonably considered as deviations from fundamental value and they are caused by the presence of traders who are not fully rational hence called noise traders. Noise trader approach assumes that sentiment traders exert...

This paper studies whether investor sentiment can predict future Mexican stock market returns. Furthermore, we examine the dynamic correlation between sentiment and returns. Lastly, we examine whether sentiment innovations influence unexpected returns. We find that sentiment has significant...