In this study, we examine the effect of investor sentiment on the stock market reaction to earnings news (i.e., the earnings response coefficient or ERC) for loss firms. We find that the ERC for loss firms' earnings increases is less positive as sentiment increases, contrary to the findings in...

We demonstrate the estimation biases that arise when stock returns from 12 month prior and 2 month prior are included within intermediate and recent past momentum profits. These biases lead to an overestimation of intermediate past momentum but an underestimation of recent past momentum in the...