From 2010--2015, a group of traders illegally accessed earnings information hours before their public release by hacking several major newswire services. We use their informed trading as a natural experiment to investigate how efficiently markets incorporate private information in trades. 15\%...

We present evidence of investors underreacting to the absence of events in financial markets. Routine-based insiders strategically choose to be silent when they possess private information not yet reflected in stock prices. Consistent with our hypothesis, insider silence following routine sell...

We examine the role of concurrent information in the striking increase in investor response to earnings announcements from 2001 to 2016, as measured by return variability and volume following Beaver (1968). We find management guidance, analyst forecasts, and disaggregated financial statement...

This analysis identifies a distinct immediate announcement period negative relation between earnings announcement surprises and aggregate market returns. Such a relation implies that market participants use earnings information in forming expectations about expected aggregate discount rates and,...

This paper aims at studying the market response surrounding profit warnings as well as annual earnings announcements. Relatively few academic researches have investigated these issues. Our empirical survey based on an event study, points out a strong negative residual stock returns around profit...

This paper focuses on Chinese institutional trading and its relation with stock returns. We use the data of institutional ownership of Topview from Shanghai Stock Exchange to get daily order flow of dealers and mutual funds. We first document that their daily order flow is persistent in the...

An avalanche of empirical studies has addressed the validity of the rank-size rule (or Zipf's law) in a multi-city context in many countries. City size in most countries seems to obey Zipf's law, but the question under which conditions (e.g. sample size, spatial scale) this 'law' holds remained...

We examine how using stock as the method of payment affects a bidder's investor base and investor recognition, and the bidder announcement return. We hypothesize that relative to a cash acquisition, a stock acquisition would increase the bidder's investor base and lower Merton's (1987) shadow...

We explore analysts' earnings forecast data to improve upon one popular disagreement measure — the analyst forecast dispersion measure — proposed by Diether, Malloy, and Scherbina (2002). Our analysis suggests that changes in the standard deviations of forecasted earnings can work as a...

During the first eight months of 2015, there was an ongoing debate about whether or not Greece should remain in the euro area. Using an event study approach, we quantify the effects of Grexit-related statements made by six important euro area politicians (Merkel, Schaeuble, Tsipras, Varoufakis,...