The increase in investor diversity over the last 35-40 years (ICI 2014) prompted us to revisit trading volume reactions to earnings announcements and how these reactions vary with firm size. This increase in investor diversity would likely lead to an increase in differences in the precision of...

In this paper I show that the bond price reaction to earnings announcements has predic- tive power for post-announcement stock returns and that this predictive ability is driven by the bonds of non-investment grade firms. I find that bonds' predictive ability is more pronounced in firms that...

We study the impact of debt covenants on earnings announcement returns by creating 10 covenant groups and a covenant index using event-study methodology. We find that during bad news, whether it stems from a bad earnings surprise or a negative average market reaction, both the index and most...

There is an extensive stream of research that documents a positive association between earnings surprises and stock returns at the individual firm level. We posit that individual firms' earnings surprises have systematic and firm-specific components that differ in their persistence, implying...