This study develops, implements, and evaluates a multi-label text classification algorithm that extracts textual information from the annual reports of all publicly listed USA companies. Specifically, the proposed system can automatically identify 25 types of frequently mentioned risk factors in...

This study examines the profitability of trading on earnings surprises in the post-earnings announcement period for Canadian equities spanning the period 1994-2009. There is clear evidence that stock prices drift in the direction of earnings surprise for several months following an earnings...

We examine the valuation of financial statement note information at the time of 10-K filings. We find that stock returns around 10-K filings are positively related to accounting adjustments calculated from financial statement note information. We further document that the likelihood of equity...

This paper studies how firms manage liquidity around seasoned equity offerings and the impact of such behaviour on long run performance. We identify a pre-issue ‘debt trap' scenario where issuers raise equity to escape from the debt trap problem. We find some evidence that issuers with a debt...

This study investigates whether analysts strategically construct their portfolios along the supply chain. We document four major findings. First, the likelihood of an analyst following a firm's major customer increases with the strength of the economic tie along the supply chain, as measured by...

The last decade has seen rapid growth in trading of credit instruments on secondary markets. The ensuing availability of a rich set of credit market data has created a novel environment for testing a variety of financial economic theories. In this discussion, we provide a simple framework for...

We survey recent research in accounting anomalies and fundamental analysis. We use forecasting of future earnings and returns as our organizing framework and suggest a roadmap for research aiming to document the forecasting benefits of accounting information. We combine this with opinions from...

This article analyses the effects of mandatory International Financial Reporting Standards adoption in Poland. Our aim is to determine how market participant reacted to the new accounting standards on the year of the adoption and whether their behaviour changed afterwards. We examine abnormal...

This paper examines the relation between firm-level implied volatility skew and the likelihood of extreme negative events, or crash risk. I show that volatility skew identifies which firms are likely to experience crashes, but only in short-window earnings announcement periods. The predictive...

This paper examines the relationship between liquidity and quality of financial information by analyzing long-term trends in Amihud's (2002) illiquidity measure for firms that restate financial statements. I find that for most income decreasing restatements illiquidity increases several months...