We study the economic importance of accounting information as defined by the value that a sophisticated investor can extract from publicly available financial statements when optimizing a portfolio of U.S. equities. Our approach applies the elegant new parametric portfolio policy method of...

This study speaks to investment academics and practitioners by describing and analyzing the population of return predictive signals (RPS) publicly identified during the period 1970-2010. Our supraview brings to light a number of new facts about the population of RPS, including that more than 330...

Using a large database of news stories from newswires, national press, internet-based news outlets, news aggregators and local news channels, we study differences in the coverage of business news across types of press sources. We document that bad news business stories receive more coverage than...

Using a proprietary and unusually comprehensive database of hedge fund returns, we seek to identify abnormal performance consistent with opportunistic trading (e.g., bear raids) or synchronized actions (e.g., widespread forced liquidations) that could generate systemic risk. We find no evidence...

Using a dataset of 3,234 letters sent by 434 hedge funds to their investors during 1995-2011, we study what motivates hedge fund managers to make voluntary disclosures. Contrary to the hedge fund industry's reputation for opacity, we observe that managers provide their investors with an array of...

We study the use of residual income (RI) valuation methods by U.S. sell-side equity analysts, particularly as compared to DCF. We document that RI valuations are rare — just 1/16th as common as DCF — and that different RI and DCF valuations are not infrequently provided by the same analyst...

We investigate the number of and reasons for errors and questionable judgments that sell-side equity analysts make in constructing and executing discounted cash flow (DCF) equity valuation models. For a sample of 120 DCF models detailed in reports issued by U.S. brokers in 2012 and 2013, we...

We take up Cochrane's (2011) challenge to identify the firm characteristics that provide independent information about average U.S. monthly stock returns by simultaneously including 94 characteristics in Fama-MacBeth regressions that avoid overweighting microcaps and adjust for data snooping...

We show that measures of business text sentiment are highly affected by transitory events. These transitory events lead to a strong positive association between sentiment and contemporaneous earnings. However, the association between sentiment and future earnings is insignificant. We develop a...