This paper finds that returns to the post-earnings-announcement drift (PEAD) strategy result from differential sensitivity of individual stock returns to aggregate earnings shocks. Larger negative aggregate earnings shocks are associated with higher PEAD returns, because stocks in the PEAD's...

This study aims to investigate whether dominant firms' idiosyncratic shocks affect earnings management of non-dominant firms. Following economic literature, shocks to dominant firms are measured by abnormal levels of labor productivity growth, considering expected levels at the industry-level....

Firm specific information has a damped effect on business group firms' stock prices. Business group affiliated firms' idiosyncratic stock returns are less responsive to idiosyncratic commodity price shocks than are the idiosyncratic returns of otherwise similar unaffiliated firms in the same...

This paper explores the effect of credit rating agency's (CRA) reputation on the voluntary disclosures of corporate bond issuers. Academics, practitioners, and regulators disagree on the informational role played by major CRAs and the usefulness of credit ratings in influencing investors'...

This paper examines whether shocks to less visible product market network peers explain industry level post-earnings announcement drift (IPEAD). On the real-side, we find that peer earnings shocks propagate slowly through the peer network, creating a complex and conditional autocorrelation...

Prior turnover literature documents that poor performance leads a board of directors to terminate the CEO, but does not explore the underlying causes of the CEO's poor performance. Recognizing that terminated CEOs have often been successful earlier in their tenure, we conjecture that changes in...