We show that a lack of investor trust affects the revision of cash flow expectations and delays the incorporation of accounting information into the stock price. To overcome investors' dependence on trust, managers can obtain external certification—either through credit ratings or by employing...

We examine the long-run pricing relationship among crude oil prices at the North Sea (Brent) and Cushing (WTI) delivery points. The Brent-WTI location basis differential is stable until December 2009, but it widens to record levels in the next two years. We report on recent changes in the crude...

Almost all U.S. firms now announce earnings outside of regular trading hours. This paper studies how stock prices incorporate information in after-hours trading. I find slow prices adjustment accompanied by significant trading volume. During 2002-2012, 5,881 rule-based trading opportunities...

This paper provides a survey of dark pools, focusing on block-crossing venues. We examine years of data from within Liquidnet's dark pool to quantify econometric characteristics of these pools including their market impact and spread savings, effectively quantifying the benefits of natural...

By exploiting the exogenous reductions of analyst coverage due to closures and mergers of brokerage firms, I examine the causal impact of information asymmetry on insider trading. I find that corporate insiders' abnormal returns increase sharply after coverage reductions. This effect is stronger...

Limited attention theory predicts that higher salience of earnings news implies a stronger immediate market reaction to earnings news and a weaker post-earnings announcement drift (PEAD) or reversal (PEAR). Using a new measure, SALIENCE, defined as the number of quantitative items in an earnings...

We examine the impact of China's 2010 margin trading and short selling pilot programme on stock returns and trading volume. The market reacts negatively to both the programme announcement and implementation, with significantly lower returns and trading volumes in the pilot stocks. The negative...

Theory provides competing predictions on the question of whether informed investors immediately trade on newly generated private information. We address this question using SEC-mandated disclosures to identify the dates when new private information about target or acquiring firm value is...

We show that the pre-FOMC announcement drift in equity returns occurs mostly in periods of high market uncertainty or risk premium. Specifically, this abnormal return is explained by a significant reduction in the risk premium (implied volatility and variance risk premium) prior to the...

When brokers, analysts and fund managers buy or sell for their own account, they outperform retail investors over short windows up to a month. They earn particularly high abnormal returns when they trade simultaneously with other financial experts and when they trade before earnings...