This paper examines the role of financial statement comparability in shaping trading volume prior to earnings announcements. We find that the degree of delayed trading volume prior to earnings announcements is less pronounced for firms with more comparable financial statements. In addition, the...

This paper presents and compares several time-series models for returns of broadbased stock indices. These models nest a nonlinear asymmetric GARCH (NGARCH) model as a special case. Some of these models are empirically motivated ad-hoc specifications others are derived from a representative...

Similarity between two stocks is measured by the distance between their characteristics such as price, size, book-to-market, return on assets, and investment-to-assets. We find that after a stock's most similar stocks have experienced high (low) returns in the past month, this focal stock tends...