We document several factors that help explain cross-sectional variations in the post-revision price drift associated with analyst forecast revisions. First, the market does not make a sufficient distinction between revisions that provide new information ("high-innovation" revisions) and...

Using monthly data from 01/1985 to 12/2012, we find that the accounting valuation-based predictor introduced in Lee, Myers, and Swaminathan (1999) has excellent in-sample and out-of-sample predictive performance. Our finding suggests that the accounting valuation-based predictor does not suffer...

This paper shows that in asset pricing the information environment gives rise to a systematic risk factor when the informativeness of future news events varies with their content (i.e., bad news and good news are not equally informative). The paper further shows that in such cases (cross) serial...

A principal-components analysis demonstrates that common earnings factors explain a substantial portion of rm-level earnings variation, implying earnings shocks have substantial systematic components and are not almost fully diversifiable as prior literature has concluded. Furthermore, the...

Variation in idiosyncratic return volatility from 1978 to 2009 is attributable to discretionary accrual volatility and the correlation between pre-managed earnings and discretionary accruals reflective of information quality across firms. These results are robust to controls for firm operating...

Employing a broad sample of US firms over the period 1962 to 2009, we provide evidence of a liquidity risk impact on the fundamental earnings-returns relation. Specifically, we document that current liquidity risk has a positive moderating effect on the relation between current returns and next...

By employing two alternative measures of fundamental value, we re-examine the value relevance of accounting information over time. Consistent with some recent studies (e.g. Dontoh et al. 2007), we do not find evidence on the temporal decline in R-squares of conventional value-relevance...

Our study examines whether behavioural theories can explain post-earnings announcement drift (i.e., earnings momentum) in the Spanish market. In particular, we test models proposed by Daniel, Hirshleifer, and Subrahmanyan (1998), Hong and Stein (1999), and Barberis, Shleifer, and Vishny (1998)....

We examine the effect of options trading volume on the stock price response to earnings announcements over the period 1996-2007. Contrary to previous studies, we find no significant difference in the immediate stock price response to earnings information announcements in samples split between...

We examine the effect of options trading volume on the stock price response to earnings announcements over the period 1996–2007. Contrary to prior studies, we find no significant difference in the immediate stock price response to earnings information announcements between firms with listed...