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...

In this note we document interactive relations between the excess volatility and the momentum effect in the cross-section of stock returns over the sample periods of 1963-1989, 1990-2010 and 1963-2010, along the line explored lately in Wang and Ma (2014). The nature of interactive relations...

We test the hypothesis that low visibility shocks to text-based network industry peers can explain industry momentum. We consider industry peer firms identified through 10-K product text and focus on economic peer links that do not share common SIC codes. Shocks to less visible peers generate...

We posit that a change in analyst interest in a firm is an early indicator of the firm's future fundamentals, capital market activities, and stock returns. We measure increases in analyst interest by observing analysts who do not cover a firm but participate in that firm's earnings conference...

We suggest a procedure to predict individual stock liquidity and study the relation between stock liquidity forecasts and average stock returns. Our forecast model reduces the root-mean-squared error by 12% for the Amihud (2002) liquidity measure compared to realized stock liquidity in the...

We investigate the effect of CO2 emissions to cross-sectional stock returns. Overall, we find that CO2 emissions do not predict stock returns in the full sample. However, after further exploration of the cross-sectional heterogeneity of the return predictability. We find the return...

Our paper conducts textual analysis on sell-side analyst reports and online stock opinion articles, which recommend that investors buy stocks that, based on prior literature, trade at comparatively high prices and earn low future returns. We test whether the justifications provided in these buy...

This paper studies the out-of-sample predictability of the monthly market as well as size, value, and momentum premiums. We use a sample from each the US and the Swiss stock market between 1989 and 2007. Our Swiss sample provides an important new perspective as the repeated evaluation of the...

This paper examines if firms with the most racially diverse employees enjoy superior benefits and performance above the market average. The problem of the study is to analyze risk premiums and risk-adjusted excess returns of a portfolio of firms with most diverse employees in the United States...

This paper investigates whether realized and implied volatilities of individual stocks can predict the cross-sectional variation in expected returns. Although the levels of volatilities from the physical and risk-neutral distributions cannot predict future returns, there is a significant...