Using a large hand-collected dataset, we provide novel evidence on the additional information embedded in the designs and graphs of financial reports. We find that firms that add graphic financial reports experience a positive 2.7% abnormal returns in the following 3 to 6 months. The finding...

Which market has leading informational advantage: stocks or options? Using large set of stock and option characteristics, and machine learning, we provide a comprehensive analysis of which characteristics are the first order importance predictors of options and stock returns. First, we find that...

This paper finds evidence that stock returns vary with the physical climate change exposure of firms in a predictable manner. We construct measures of exposures to physical climate changes at the firm level, and find that firms with high climate change exposures experience lower future...

We use data on signed option volume to study which components of option volume predict stock returns and resolve the seemingly inconsistent results in the literature. We find no evidence that trades related to synthetic short positions in the underlying stocks contain more information than...

This paper studies the out-of-sample predictability of the monthly market as well as size, value, and momentum premiums. We use a sample from each the US and the Swiss stock market between 1989 and 2007. Our Swiss sample provides an important new perspective as the repeated evaluation of the...

This study speaks to investment academics and practitioners by describing and analyzing the population of return predictive signals (RPS) publicly identified during the period 1970-2010. Our supraview brings to light a number of new facts about the population of RPS, including that more than 330...

This paper constructs a new measure of attention allocation by local investors relative to nonlocals using aggregate search volume from Google. We first present a conceptual framework in which local investors optimally choose to focus their attention on local stocks when they receive private...

Based on data until the mid 2000s, oil price changes were shown to predict international equity index returns with a negative predictive slope. Extending the sample to 2015, we document that this relationship has been reversed over the last ten years and therefore has not been stable over time....

Prior studies argue that overconfidence-driven overreaction leads to return predictability and high trading volume. Motivated by these studies, we propose a measure of continuing overreaction using weighted signed volumes. We find that the strategies of buying stocks with upward continuing...

We suggest a procedure to predict individual stock liquidity and study the relation between stock liquidity forecasts and average stock returns. Our forecast model reduces the root-mean-squared error by 12% for the Amihud (2002) liquidity measure compared to realized stock liquidity in the...