We re-examine the puzzling pattern of lead-lag returns among economically linked firms. Our results show these patterns are driven largely by investors' tendency to ignore information that arrives continuously in small amounts. In contrast, when information with the same cumulative returns...

Employing a classic measure of technological closeness between firms, we show that the returns of technology-linked firms have strong predictive power for focal firm returns. A long-short strategy based on this effect yields monthly alpha of 117 basis points. This effect is distinct from...

Using firm-level data from 44 countries, we investigate the relation between corruption and international corporate values. Our analysis shows that firms from more corrupt countries trade at significantly lower market multiples. The effect is both economically and statistically significant....

Recent events in China provide a historical opportunity to study the expropriation of minority shareholders. In this paper, we document the use of inter-corporate loans by controlling shareholders to extract funds from Chinese listed firms. Using accounting information from public sources, we...

This study documents the widespread use of corporate loans by controlling shareholders to extract funds from Chinese listed companies. Typically reported as Other Receivables (OREC), these loans represent a substantial portion of the reported assets of Chinese firms. We show that companies with...

This paper examines the profitability of earnings momentum strategies based on analyst forecast revisions in eleven international equity markets. While analyst forecast revisions exhibit persistence in all countries, the profitability of trading strategies based on these revisions varies....

Closed-end country funds can trade at large premiums and discounts from their foreign asset values (NAVs). Investigating this anomaly, we find that individual fund premiums move together, primarily because of the comovement of their stock prices with the U.S. market. Moreover, an index of...

The premiums on closed-end country funds tend to move in tandem, but do not move together with premiums on domestic closed-end funds. After controlling for foreign market fundamentals, changes in the stock price of country funds co-move with U.S. market returns, but changes in their net asset...

This study compares four broadly available industry classification schemes in a variety of applications common to capital market research. SIC codes have been available since 1939, but are being replaced by NAICS codes. The Global Industry Classifications Standard (GICS)SM system, jointly...

We document several factors that help explain cross-sectional variations in the delayed price response to individual analyst forecast revisions. First, the market does not make a sufficient distinction between those analysts providing new information and others simply quot;herdingquot; toward...