This paper investigates the timing and source of anomalous positive long-run abnormal returns following repurchase authorizations. Returns between program authorization and completion announcements are indistinguishable from zero. Abnormal returns occur only after completion announcements....

Corporate managers frequently announce corporate distributions, including stock splits, stock dividends, special dividends, and increases in regular dividends, on the anniversary of a like announcement at the same firm. The market appears to not fully appreciate the implications of current...

This paper examines how investors assimilate firm-specific earnings persistence into prices in the context of delayed stock return reactions to earnings announcements (i.e., post-earnings-announcement drift, or PEAD). The literature predicts that if investors fail to recognize fully the...

We show that the pattern of positive pre-announcement market drift is present not only for FOMC announcements, as documented by Lucca and Moench (2015), but also for other major macroeconomic announcements such as Nonfarm Payroll, ISM and GDP. This commonality in pre-announcement returns leads...

I examine the relationship between aggregate news sentiment, S&P 500 Index returns, and changes in the implied volatility index (VIX). I find a significant negative contemporaneous relationship between changes in VIX and both news sentiment and stock returns. This relationship is asymmetric...

We document a significant positive relation between earnings announcement idiosyncratic volatility and stock returns in the 10-day window before future earnings announcements. The average of risk-adjusted return differences between stocks with the highest earnings announcement idiosyncratic...

This paper studies the implications of disclosure repetitiveness on firm performance, information processing costs, and future stock returns. I propose a compression-based method to measure disclosure repetitiveness, which is assumption-free with respect to the underlying language models. I then...

We analyse the links between soccer match results, bets and stock returns of all listed European soccer teams. Using an event study approach, we measure abnormal returns following wins, ties and losses. Wins are associated with positive abnormal returns, and ties and losses with negative...

In a large sample of U.S. takeovers, we find that acquisitions of targets with greater financial independence are associated with higher takeover premiums and lower acquirer announcement returns. This empirical result is most consistent with targets' deriving bargaining power from their...

Relying on a comprehensive data set of news releases, we construct monthly firm-level news sentiment scores during the 2000–2016 period and document a news momentum phenomenon of stocks with more positive news in the past generating more positive news in the future. We propose three hypotheses...