This study of the post – earnings announcement drift and the value – glamour anomaly finds that value stocks have greater information uncertainty, exhibit more-muted initial market reactions to earnings surprises, and have better (more positive or less negative) post – earnings...

The SEC's EDGAR log files provide a direct, powerful measure of attention from relatively sophisticated investors. We apply this measure to a sample of earnings announcements from 2003 to 2016. We find that the stock market is less surprised, and the post-earnings-announcement drift is weaker...

By using a unique dataset of daily short covering volumes obtained from the Taiwan Stock Exchange, we first examine, in general, what drives daily short covering activity in the cross-section and its return predictability; we then investigate, in specific, the relation between short covering and...