In this study we examine changes in the precision and the commonality of information contained in individual analysts' earnings forecasts, focusing on changes around earnings announcements. Using the empirical proxies suggested by the Barron et al. (1998) model that are based on the...

Recent research finds that many analyst recommendation revisions take place shortly after earnings announcements. Altinkilic and Hansen (2009) attribute the clustering of recommendations to analysts strategically piggybacking on earnings information to improve the perceived performance of their...

In this paper I examine the relation between profits from book-to-market strategies and momentum strategies. Specifically, I test two time-series hypotheses which are not mutually exclusive, but do have opposite predictions for subsequent momentum profits. First, if periods of large...

We study the role of firm ambiguity on stock price reaction to earnings announcements. By using the firm's variance risk premium (VRP) prior to earnings news arrivals as a proxy for firm-level information ambiguity, we provide evidence that this “micro” form of ambiguity has a significant...

This working paper is the first draft of our co-authored publication, "An Empirical Evaluation of Accounting Income Numbers," Journal of Accounting Research 6, 1968, pp.159-78. While undated, it subsequently was presented at the November 1967 Seminar on the Analysis of Security Prices organized...

This paper investigates the role of the business press in creating and disseminating information around earnings announcements by examining different motivations of trading volume. We find that press coverage is positively associated with trading activity motivated by differential interpretation...

We examine how supplier-firm shareholders respond to the earnings announcements of their major customers to test the moderated confidence hypothesis, which predicts overreaction to imprecise signals. In our setting, the moderated confidence hypothesis predicts that supplier shareholders will...

We examine the role of concurrent information in the striking increase in investor response to earnings announcements from 2001 to 2016, as measured by return variability and volume following Beaver (1968). We find management guidance, analyst forecasts, and disaggregated financial statement...

This paper examines the informativeness of earnings announcements, by focusing on the role of event windows within which the information content is measured. This focus on event windows is primarily motivated by recent trends towards the announcement of earnings during after-market hours. It is...

Prompted by concerns that high frequency traders (HFTs) reap unfair advantages over other traders by using faster trading technologies, regulators are contemplating measures to slow down equity markets. Currently, HFTs account for a significant fraction of the total market volume. Although...