We apply the automatic pattern recognition algorithm of Lo et al. (2000) to 25 stocks listed on the Swiss stock exchange, over the last 15 years. We systematically identify exogenously specified technical patterns and then compare the empirical unconditional distributions of daily returns to the...

We study whether the financial analysts' concern to maintain friendly relationships with firms' managers in order to preserve their access to ‘soft' qualitative information entice them to issue pessimistic (“earnings surprise management” hypothesis) or optimistic (“management access”...

We analyze the quality of forward-looking information in the management reports (MR) of listed German corporations and the impact of differences in that quality on analysts' behaviour. For several years, German corporations are bounded to provide forward-looking information separately for the...

Over the past 12 years, financial analysts across the world have been optimistically wrong with their 12-month earnings forecasts by 25.3%. This study may be the first of its kind to assess analyst earnings forecast accuracy at all listed companies across the globe, covering 70 countries. A...

We show that option-implied jump tail risk estimated prior to earnings announcements strongly predicts post-earnings risk-adjusted abnormal stock returns. The predictive power of implied jump tail risk is particularly strong on extreme abnormal stock returns whose absolute values exceed 10%. The...

This article documents how the changing composition of U.S. publicly traded firms has prompted a decline in the long-run mean of the aggregate dividend-price ratio, most notably since the 1970s. Adjusting the dividend-price ratio for such changes resolves several issues with respect to the...

We define a sentiment indicator based on option prices, valuation ratios and interest rates. The indicator can be interpreted as a lower bound on the expected growth in fundamentals that a rational investor would have to perceive in order to be happy to hold the market. The lower bound was...

We show analytically under quite general conditions that implied rates of return based on analysts' earnings forecasts are only a downward biased estimator for future expected one-period returns and therefore not suited for computing market risk premia. The extent of this bias is substantial as...

We test the effect of sentiment on returns using a sample of upstream oil stocks where we have a good proxy for fundamental value. For this sample, the influence of sentiment is highly time-varying, appearing only after the post-2000 increased interest in oil-related assets. Contrary to the...

The efficient market hypothesis describes an efficient market as one in which investors cannot consistently predict stock returns because prices instantly reflect all the information flowing into the market. However, return predictability has been documented in many markets. This study tests the...