This paper studies whether illiquidity affects the predictability of fundamental valuation variables. Firm-level, cross-sectional analyses show that returns of illiquid stocks contain less information about their firm's future earnings growth compared to those of more liquid stocks. A natural...

This article shows that aggregate analyst recommendations predict future aggregate excess returns at MSA and state level (i.e. local level). The results hold even after controlling for macroeconomic variables, industry and market returns, as well as investor sentiment. We also show that the...

We review the literature on recurring firm events and predictable returns. Many common firm events recur on a predictable basis, such as earnings and dividends, among others. These events tend to be associated with large positive returns in the period when those events are predicted to occur...

Because of the intangible and highly uncertain nature of innovation, investors may have difficulty processing information associated with a firm's innovation search strategy. Due to cognitive and strategic biases, investors are likely to pay more attention to unfamiliar explorative patents...

I propose a new method to predict non-announcing firms' earnings using the cross-section of all available early announcers' earnings, which can number in the thousands. The method assumes common latent factors driving the earnings of non-announcing firms and early announcers and thus efficiently...

Using multiple short sale measures, we examine the predictive power of short sales for future stock returns in 38 countries from July 2006 to December 2014. We find that the days-to-cover ratio and utilization ratio measures have the most robust predictive power for future stock returns in the...

In this paper we examine the time-series and cross-sectional volatility in analyst forecasts. We derive a bound on the degree of variation in forecasts, analogous to the variance bound literature in finance, and document the frequency and circumstances surrounding violations of this bound. We...

We examine the predictive ability of the aggregate earnings yield for market returns and earnings growth by estimating variance decompositions at multiple horizons. Based on weighted long-horizon regressions, we find that most of the variation in the earnings yield is due to return...

This study presents direct evidence on the question whether investors recognize the widely documented biases in securities analysts' earnings forecasts. The internal rate of return implied by current stock price and consensus earnings forecasts is found to be correlated with indicators of bias...