Using nine years of data for the largest 3,000 U.S. stocks, we find a tendency for positive returns during the overnight non-trading period followed by reversals during the subsequent trading day session. This pattern is driven by an opening price that is high relative to intraday prices, rather...

In the days before earnings announcements we find an average price increase of almost 1 percent for stocks that are likely to be overpriced already - stocks with low institutional ownership combined with high market-to-book ratios, turnover, volatility, or analyst forecast dispersion. However,...

The purpose of this study is to investigate how Artificial Neural Network forecasts, specifically Adaptive Logic Network (ALN) forecasts, compare to those of linear regression (LR) and ARIMA models when analyzing international stock market movements during the crash of October 1987. The results...

When investors anticipate the Fed increasing margin requirements, they bid up the riskier stocks in the long legs of hedge portfolios associated with the market, HML, and SMB factors relative to the less risky stocks in the short legs. Following such a policy change, the returns on these hedge...

This study shows that the recent trajectory of a firm's profits predicts future profitability and stock returns. The predictive information contained in the trend of profitability is not subsumed by the level of profitability, earnings momentum, or other well-known determinants of stock returns....

We reexamine signaling and agency theories and argue that the free-cash-flow hypothesis implies a stronger information effect for both over- and under-investing firms than for value-maximizing firms. Our results indicate that dividend and capital structure policies interact to provide...

Corporate directors earn abnormal returns when they buy their own company's stock as insiders. Directors also outperform when they buy stocks with an interlock connection, where a co-board member is an insider. Directors do not consistently earn abnormal returns when they sell these connected...

Insiders must disclose indirect trades made through accounts they control, including family, trust, retirement, and foundation accounts. Trades made in these indirect accounts are more profitable than direct trades in the insider's own account. In addition, indirect trades better predict...

Unusually high aggregate stock trading volume in one week predicts higher excess market returns in the following week, especially when accompanied by high market volatility. This predictive relation is robust across alternative measures of aggregate trading volume. In out-of-sample forecasting...

We examine the relation between the investment horizons of insiders and the information content of their trading activity regarding future stock returns. We conjecture that an insider's investment horizon establishes a benchmark for expected patterns of continued trading behavior, and thus helps...