This study finds that aggressive tax strategies adopted by a firm affect idiosyncratic stock return volatility. Aggressive tax strategies, which I measure as tax paid by a firm divided by pretax income (adjusted for special items), are associated with higher levels of idiosyncratic stock...

We explore the effects of tax avoidance and tax risk on stock return volatilities of U.S. firms. We find that firms with very low and very high levels of tax avoidance and firms with high levels of tax risk have more volatile stock returns. We observe that tax avoidance primarily affects stock...

We study conference calls as a voluntary disclosure channel and create a proxy for the time horizon that senior executives emphasize in their communications. We find that our measure of disclosure time horizon is associated with capital market pressures and executives' short-term monetary...

Information processing filters out the noise in data but it takes time. Hence, low precision signals are available before high precision signals. We analyze how this feature affects asset price informativeness when investors can acquire signals of increasing precision over time about the payoff...

This study documents the prominent role of idiosyncratic risk in impeding arbitrage activities with regard to a new value-to-price anomaly. Adopting the theoretical foundation and empirical specification of Hwang and Sohn's (2010) real-option-based valuation model, we measure the intrinsic value...

High-frequency trading has become a dominant force in the U.S. capital market, accounting for over 70% of dollar trading volume. This study examines the implication of high-frequency trading for stock price volatility and price discovery. I find that high-frequency trading is positively...

This paper shows that in asset pricing the information environment gives rise to a systematic risk factor when the informativeness of future news events varies with their content (i.e., bad news and good news are not equally informative). The paper further shows that in such cases (cross) serial...

Variation in idiosyncratic return volatility from 1978 to 2009 is attributable to discretionary accrual volatility and the correlation between pre-managed earnings and discretionary accruals reflective of information quality across firms. These results are robust to controls for firm operating...

Financial crises are typically marked by substantial increases in ambiguity where prices appear to decouple from fundamentals. Consistent with ambiguity-based asset pricing theories, we find that ambiguity concerns are more severe for firms with higher pre-crisis earnings volatility, causing...