... during price target announcement months. Market participants are able to mostly (but not fully) debias analyst-expected returns before incorporating them into prices, with the announcement-month reaction to bias being relatively weak at about 15 percent of its reaction to information. A trading strategy...

... 2022 expected returns risk premium cost of capital growth voluntary disclosure mandatory disclosure Following our primary firm-level analyses, we introduce an additional disclosure measure intended to conform more closely to the disclosure environment characterized in several...

...Akash Chattopadhyay; Matthew R. Lyle; Charles C. Y. Wang ABSTRACT This study provides the first large-scale study of the performance of expected-return proxies (ERPs) internationally. Analyst-forecast-based ICCs are sparsely populated and not robustly associated with future returns. Earnings-model...

... for a related decrease in expected returns arising from a decrease in investor risk aversion. In contrast, when industry-level earnings growth is less predictable, we find that recommendation changes relate positively to future returns. However, this positive relation results from analysts and investors...

... in Appendix C. Editor's note: Accepted by Rodrigo S. Verdi, under the Senior Editorship of Mark L. DeFond. 1 2017 10 2019 2020 systematic risk distress business cycle expected returns accounting fundamentals A long strand of research examines the use of accounting...

... prior studies that do not condition on the option-like nature of equity have documented either a positive or no association between information quality and future average stock returns. information quality expected returns option returns It is often argued that higher-quality information...

...: Accepted by İrem Tuna, under the Senior Editorship of Mark L. DeFond. December 2014 January 2017 2017 gross profitability trend in profitability profitability growth expected returns asset pricing mispricing underreaction We test this conjecture by analyzing whether...

...Judson Caskey; John S. Hughes; Jun Liu ABSTRACT We examine how strategic trade affects expected returns in a large economy. In our model, both a monopolist (strategic) informed trader and uninformed traders consider the impact of their demands on prices. In contrast to settings with price-taking...