We examine a dataset consisting of comprehensive investment recommendations paired with analyst-specific information for over 1,100 buy-side analysts (predominantly analysts from hedge funds). Short recommendations from these analysts generate an immediate and significant decline in price,...

We examine a comprehensive set of investment recommendations paired with analyst-specific information from over 1,000 buy-side analysts (predominantly analysts from hedge funds) from the private website SumZero.com. Recommendations from these analysts generate significant returns when the...

The authors identify several problematic assumptions underlying the benchmark return methodology used by the Center for Research in Security Prices (CRSP), which practitioners and academics would be unlikely to know or mimic. In particular, CRSP includes non-common stock securities that most...

We show that tests of market efficiency are sensitive to the inclusion of delisting firm-years. When included, trading strategy returns based on anomaly variables can increase (for strategies based on earnings, cash flows and the book-to-market ratio) or decrease (for a strategy based on...

We investigate the association between bond returns and 32 financial statement variables. Our findings show that 17 of the 32 financial statement measures we examine are significantly related to future bond returns. Evidence of inefficiency is more pronounced when institutional investors are...

This paper tests the hypothesis that negative client stock returns following the revelation that Enron documents had been shredded are attributable to confounding effects as opposed to a loss of Andersen's reputation. We find that a sharp decline in oil prices along with differences in the...

We show that tests of market efficiency are sensitive to the inclusion of delisting firm-years. When included, trading strategy returns based on anomaly variables can increase (for strategies based on earnings, cash flows and the book-to-market ratio) or decrease (for a strategy based on...