We show meetings of investors and firms convey information about expected returns. Investors frequently travel to meet in-person with firms before investing, and we show firms with abnormally frequent meetings predictably outperform firms with abnormally infrequent meetings by roughly 70-to-100...

This paper shows that investors do not fully incorporate cost behavior information into valuation. Firms with higher growth in operating costs generate substantially lower future stock returns and operating performance. An equal-weighted long-short spread portfolio earns an average return of 82...

This paper proposes a two-state predictive regression model and shows that stock market 12-month return (TMR), the time-series momentum predictor of Moskowitz, Ooi, and Pedersen (2012), forecasts the aggregate stock market negatively in good times and positively in bad times. The out-of-sample...