The existence of post earnings announcement drift (PEAD) depends strongly on whether stocks' prices are near (far from) their 52-week highs when positive (negative) earnings surprises arrive. We find that the coincidence of these two effects is what generates significant PEAD. Daily returns...

We propose an ex ante measure of analysts' production of private information (PPI) based on the correlations between analysts' forecast revisions and prior stock price changes. We validate this measure by examining whether analysts with lower correlations (higher PPI) provide more information...

After stock return anomalies are published in academic journals, corporate investment becomes more sensitive to stock prices. Analyses of insider trading, investors’ private information, future firm performance, and sensitivity of investment to cash flow collectively suggest that this increase...

This study quantifies the contributions of risk and mispricing to a comprehensive set of anomalies identified in the literature. Overall, risk and mispricing contribute equally to these anomalies; however, there is a wide variation across different categories. Mispricing is solely responsible...