This study finds that firm life stage affects investor behavior around earnings announcements. Introduction and decline stage companies exhibit significantly less positive cumulative abnormal returns (CARs) around positive earnings surprises and more negative CARs around negative earnings...

Prior literature finds information is reflected in option markets before stock markets using daily and weekly trading volume, but evidence is mixed at the intraday level. Using novel intraday signed option volume data, we develop a composite option trading score (OTS) and document its stock...

We find that short interest-related mispricing is strongest among stocks with the most lottery-like characteristics, which are preferred by retail investors. Negative alphas for high relative short interest (RSI) stocks and positive alphas for low RSI stocks are monotonically related to stocks'...

In this study, we explore intra-industry information transfer of quarterly earnings announcements for six major developed markets including the United States. Using an event study methodology, we find that the average cumulative abnormal returns (CARs) of peer firms exhibit a positive and...

Motivated by investor preference for low price stocks, we examine the significance of nominal prices for the universe of U.S. stocks. We find that there is no statistically significant difference in returns for stocks with different nominal prices when size is not controlled for. However, a...

Theoretical predictions and empirical results are ambiguous about existence of seasonality in futures markets. This paper examines one prominent seasonality, i.e. the weekend effect in futures markets and presents rational and behavioral reasons for its existence. Specifically, we document a...