We explore how efficiently new information transmits along the supply chain in corporate bond market. We find a strong predictability of the lagged bond returns of customers for related firm- and industry-level future bond returns. This is likely due to investors' inattention to cash-flow...

Building on the growing literature on inter-firm links and limited attention, we find evidence of return predictability across alliance partners. A long-short portfolio sorted on lagged returns of strategic alliance partners provides a return of 89 basis points per month that is robust to a...

This study explores the distress risk anomaly — the tendency for stocks with high credit risk to perform poorly — among 38 countries over two decades. We find a strong, negative link between default probabilities and equity returns, concentrated among low-capitalization stocks in developed...

Prior research has shown that information diffuses gradually across stocks that are economically linked at the industry level. I document a similar pattern when stock portfolios are formed based on characteristics that are used in the anomaly literature (e.g., size, value, asset growth)....

The T 3 settlement rule for stock trades allows the dividend-eligible investors to give buy orders on the third trading day preceding the dividend payment day (day T-3) for a trade to be settled on the dividend payment day (day T). I document significant positive abnormal returns equal to 24 bps...

We explore the predictive relation between high-frequency investor sentiment and stock market returns. Our results are based on a proprietary dataset of high-frequency investor sentiment, which is computed based on a comprehensive textual analysis of sources from news wires, internet news...

This study employs option-price data to back out the implied cross-sectional return variance in the G10 currencies. It investigates the relation of implied cross-sectional return dispersion in the currency market and subsequent realized cross-sectional return dispersion. We find that implied...

Our paper investigates extended abnormal returns for S&P 500 index changes in a comprehensive 1979-2015 sample. The literature's depiction of longer window returns lacked both appropriate nuance and cross-sectional analysis. Solid evidence for reversion appears in the 2000s. It suggests that...

Prior studies argue that overconfidence-driven overreaction leads to return predictability and high trading volume. Motivated by these studies, we propose a measure of continuing overreaction using weighted signed volumes. We find that the strategies of buying stocks with upward continuing...

Sentiment from over 3.6 million Reuters news articles is tested in a vector autoregression model framework on its ability to forecast returns of the Dow Jones Industrials stock index. We show that Reuters sentiment can explain and predict changes in stock returns better than macroeconomic...