The Post-Earnings Announcement Drift (PEAD) anomaly refers to the tendency of stock prices to continue drifting in the same direction as earnings surprises well through the subsequent earnings announcements; ignoring the autocorrelations in extreme earnings surprises across adjacent quarters....

Accounting measures such as levels and changes in residual earnings are widely used for performance evaluation and executive compensation (Healy, JAE (1985)). Quite often, these compensation contracts are of the linear form. Residual earnings are also important for valuation (Ohlson, CAR (1995),...

We use the theory of large deviations to investigate the large time behavior and the small noise asymptotics of random economic processes whose evolutions are governed by mean-reverting stochastic differential equations with (i) constant and (ii) state dependent noise terms. We explicitly show...

This paper investigates whether and how the initiation of Credit Default Swaps (CDS) trading affects analyst optimism. First, we document that analyst forecasts become less optimistic after the initiation of CDS trading. Second, we find that the dampening effect of CDS on analyst optimism is...

Information on Order Backlogs (OB) have long been sought after by analysts and practitioners as indicators of future sales, and in turn, of future earnings and stock returns. OB disclosures, though mandatory for annual reports, are voluntary for quarterly reports, and sometimes presented in...

This study explores whether the Management Discussion and Analysis (MDamp;A) section of Form 10-Q and 10-K has incremental information content beyond financial measures such as earnings surprises, accruals and operating cash flows (OCF). It uses a well-established classification scheme of words...