We document a market failure to fully respond to loss/profit quarterly announcements. The annualized post portfolio formation return spread between two portfolios formed on extreme losses and extreme profits is approximately 21 percent. This loss/profit anomaly is incremental to previously...

We document a market failure to fully respond to loss/profit quarterly announcements. The annualized post portfolio formation return spread between two portfolios formed on extreme losses and extreme profits is approximately 21 percent. This loss/profit anomaly is incremental to previously...

We document a failure of the market to price the implications of a current loss (profit) for a future loss (profit). In a 120-day window following the quarterly earnings announcement date, a portfolio of firms with extreme losses (profits) exhibits a -6.58 percent (3.55 percent) abnormal return....

We document negative stock returns and elevated trading volumes around executives' early option exercise disclosures post-SOX but not pre-SOX. This stock price reaction is incomplete, and the negative stock price drift is smaller post-SOX compared to pre-SOX. We also show effects of media...

Prior research examines how companies exploit Twitter in communicating with investors, how information in tweets by individuals may be used to predict the stock market as a whole, and how Twitter activity relates to earnings response coefficients (the beta from the returns/earnings regression)....

Prior research has examined how companies exploit Twitter in communicating with investors, and whether Twitter activity predicts the stock market as a whole. We test whether opinions of individuals tweeted just prior to a firm's earnings announcement predict its earnings and announcement...

Prior studies document the role social media information plays in the stock market as well as the important dissimilarities between the bond and stock markets. Bridging these two literatures, we examine the role of social media information in the corporate bond market. Analyzing a broad sample...