We document a significant positive relation between earnings announcement idiosyncratic volatility and stock returns in the 10-day window before future earnings announcements. The average of risk-adjusted return differences between stocks with the highest earnings announcement idiosyncratic...

I dissect stock returns after earnings announcements into their overnight and intraday components and document strong positive abnormal overnight returns for several weeks after both large positive and negative earnings surprises. This finding is in line with attention-induced buying pressure....

Discount rates affect stock prices directly via the discount-rate channel or indirectly via the cash-flow channel because expected future cash-flow growth varies with the discount rates. The traditional Macaulay duration captures the effect from the discount-rate channel. I propose a novel...

We find that investor attention proxies proposed in the literature collectively have a common component that has significant power in predicting stock market risk premium, both in-sample and out-of-sample. This common component is well extracted by using partial least squares, scaled principal...

This paper examines changes in Credit Default Swap (CDS) spreads as a proxy for default risk after M&A announcement for the companies involved. Existing literature extensively documents wealth effects triggered by M&A announcements from the shareholders' perspective, but there is limited...

We provide evidence that equity investors with limited attention are slow to incorporate how current oil price changes affect future earnings announcements. A cross-sectional equity trading strategy that exploits this inefficiency yields an annualized Sharpe Ratio of 0.57. Stock prices respond...

This paper documents a significantly negative cross-sectional relation between left-tail risk and future returns on individual stocks trading in the U.S. and international countries. We provide a behavioral explanation to this anomaly based on the idea that investors underestimate the...

This paper shows investors' lottery preference can attenuate price underreaction to extreme good earnings news. Such news reaffirms investors' preference for stocks with strong ex ante lottery-like features, thereby accelerating price adjustments. We find that PEAD attenuates for stocks with...

Using a sample of U.S. stocks over the period 1973–2015, we find that quarterly earnings announcements account for more than 18% of the total maximum daily returns in the top MAX portfolio. Maximum daily returns as triggered by earnings announcements do not entail lower future returns. Both...

This paper investigates the robustness of post-earnings-announcement-drift (PEAD) on a price signal perspective, unlike the traditional literature that focuses on fundamental signal. The studied period is 2003-2015, for four main US indices. The results suggest that some economic agents are too...