This paper introduces a new proxy for expected value-relevant earnings: the most optimistic (pessimistic) forecast of earnings that is higher (lower) than the median of all analysts' earnings forecasts over the 90 days prior to the earnings announcement when the median falls short of (exceeds)...

This paper investigates the effectiveness of momentum strategies for equities listed on the Vietnam Stock Exchange. It also investigates the roles of trading volume and price limits to examine the profitability of momentum strategies. Our paper finds evidence of significant momentum profits...

In recent period, earnings announcement time is relatively invariable for a firm. There is evidence of strong preference to a certain time outside trading hours for earnings disclosure. Using firm specific regressions, I show that earnings response coefficient (ERCs) differ across firms....

This paper investigates the effectiveness of momentum strategies for equities listed on the Vietnam Stock Exchange. It also investigates the roles of trading volume and price limits to examine the profitability of momentum strategies. Our paper finds evidence of significant momentum profits...

We investigate the effectiveness of several well-known parametric and nonparametric event study test statistics with security price data from the major Asia-Pacific security markets. Extensive Monte Carlo simulation experiments with actual daily security returns data reveal that the parametric...

Over the last 2 decades after-hours earnings announcements have become more prevalent, resulting in a shift in earnings-related price changes from the announcement date to the next trading day. We highlight three aspects relevant for event studies around earnings announcements. First, daily...

This paper examines the impact of carbon risk on firms' financing costs. We exploit the Kyoto Protocol ratification (hereafter KPR) committed by the Australian government in December 2007 as an exogenous increase in carbon risk. We find that, in the post-KPR period, firms with high carbon...

Employing an event study approach, we examine 5,574 bond return reactions to unexpected quarterly dividend change announcements in the U.S. corporate bond market over the period 2002–2014. Overall, we report a significant bond price reaction in the same direction as dividend changes, which...

This paper examines whether cultural dimensions explain the variation in corporate cash holdings around the world as well as within the United States. We establish four major findings. First, in an international setting, corporate cash holdings are negatively associated with individualism and...

Using a large sample of 2,712 unique U.S. domestic takeovers over the period 1993 to 2014, we show a negative relation between the level of cash holdings and post-announcement corporate bond returns. Our findings support the agency cost of cash holdings view and show that bondholders and...