Classic agency theory predicts that analysts selectively provide coverage and report their expectations. This paper examines empirically if incremental investment value can be uncovered from analysts' choice between silence and speech, measured as the level of reporting not explained by size or...

This study shows that (1) Australian analysts are optimistic in their forecasts and underreact to new information, (2) the continuous disclosure (CD) regime has a negative impact on forecast optimism and dispersion, (3) analyst forecast bias is associated with certain firm characteristics, (4)...

Assuming that risk premiums are determined by failure risk, we present a stylized model of interactions among risk-proxy variables, external financing, and stock returns in which a common mispricing factor, involving operating profit and external financing, drives the following five asset...

Why were the returns of stocks with low book-to-market ratios and high market capitalization's lower, on average, than the returns of stocks with high book-to-market ratios and low market capitalization's? In this paper we pit the characteristics hypothesis against the affect hypothesis. The...

This paper examines the relationship between two Presidential elections and stock returns in Egypt. The available literature showed mixed results on the relationship between Presidential Elections and stock returns. The author examined daily data and used an OLS regression. Each Event Window...

We show that short interest predicts future bad news, negative earnings surprises, and downward revisions in analyst earnings forecasts. Moreover, short interest is a better predictor of changes in firm fundamentals for stocks that are harder to short and short sellers appear to have information...

This paper examines whether tone (positive and negative) and volume of firm-specific news media content provide valuable information about future stock returns, using UK news media data from 1981–2010. The results indicate that both tone and volume of news media content significantly predict...

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...

This study examines the responses of investor sentiment and stock market returns to announcements of changes in analyst recommendation as well as the effect of these announcements on the relationship between sentiment and stock returns. Investor sentiment is more sensitive to upgrade...

A firm's marketing efficiency, the ability to optimally deploy and integrate different marketing inputs to achieve high sales revenue at low cost, is persistent. High marketing efficiency predicts better future operating performance and stock returns, especially in competitive industries. A...