The vast majority of U.S. public firms announce earnings in the post-close (between the closing bell and midnight, or PC) or the pre-open (between midnight and the opening bell, or PO). Prior literature generally treats PC and PO announcements as equivalent when measuring the market reaction to...

Firms make forward-looking decisions. We provide evidence that managers' investment decisions contain news about future aggregate conditions. This information is best extracted by dimension-reduction techniques. We appeal to news-driven business cycle theory to explain our result, suggesting...

We outline a framework in which accounting “valuation anchors" could be connected to expected stock returns. Under two general conditions, expected log returns is a log- linear function of a valuation (market value-to-accounting) multiple and the expected growth in the valuation anchor. We...

This paper examines how changes in firms’ risk disclosures affect a key market measure of risk. Our proxy for changes in risk disclosures is the addition and removal of individual risk factors to firms’ 10-K annual filings, identified via textual analysis of the risk factors section. Our...

We provide the first large-scale study of the performance of expected-return proxies (ERPs) internationally. Analyst-forecast-based ICCs are sparsely populated and not robustly associated with future returns. Earnings-model-forecast-based ICCs are well-populated, but are unreliable outside the...

This paper presents a method for valuing power derivatives using a supply-demand approach. Our method extends work in the field by incorporating randomness into the base load portion of the supply stack function and equating it with a noisy demand process. We obtain closed form solutions for...