We use earnings forecasts from a cross-sectional model to proxy for cash flow expectations and estimate the implied cost of capital (ICC) for a large sample of firms over 1968–2008. The earnings forecasts generated by the cross-sectional model are superior to analysts' forecasts in terms of...

We examine the role of concurrent information in the striking increase in investor response to earnings announcements from 2001 to 2016, as measured by return variability and volume following Beaver (1968). We find management guidance, analyst forecasts, and disaggregated financial statement...

We find that analysts who issue more accurate earnings forecasts also issue more profitable stock recommendations. The average factor-adjusted return associated with the recommendations of analysts in the highest accuracy quintile exceeds the corresponding return for analysts in the lowest...

We quantify the relative importance of earnings announcements in providing new information to the share market, using the r-squared in a regression of securities' calendar year returns on their four quarterly earnings announcement window returns. The r-squared, which averages approximately five...

We show that abnormal returns to analysts' recommendations stem from both the ratings levels assigned as well as the changes in those ratings. Conditional on the ratings change, buy and strong buy recommendations have greater returns than do holds, sells, and strong sells. Conditional on the...

Several recent papers assume that private information (PIN), proposed by Easley, Hvidkjaer and O'Hara (2002, 2004), is a determinant of stock returns. We replicate Easley, Hvidkjaer and O'Hara (2002) and show that while PIN does predict future returns in the sample they analyze, the effect is...

This paper examines whether industry efforts to increase uniformity and improve transparency of a non-GAAP performance measure change manager behavior and market perceptions. We find that the frequency of REITs meeting or beating analysts' expectations of funds from operations (FFO) decreased...

It has been well-documented that prices respond quickly, if not completely, to the information in quarterly earnings announcements. In this paper we show that after conditioning on past earnings surprises, companies that meet analyst expectations have positive (negative) returns following a...

Using a large database of analysts' target prices, we examine short-term market reactions to target price announcements and long-term co-movement of target and stock prices. We find a significant market reaction to the information contained in analysts' target prices, both unconditional and...