... aims to capture. expected returns cross-section analysts price targets market efficiency price drift return reversal Many studies provide evidence that prices either do not fully react to information in analyst forecasts (e.g., Asquith, Mikhail, and Au 2005 ; Gleason and Lee 2003...

... adequacy loan default contagion market efficiency In this study, we develop and empirically evaluate a new capital adequacy ratio for commercial banks. Our approach is conceptually distinct from prior measures along three dimensions. First, our measure is based on an estimate of the historical...

... market efficiency Tick Size Pilot algorithmic trading We measure the treatment effect on pre-announcement FIA in three ways. First, using a variant of the future earnings response coefficient (FERC) measure, we examine the ability of pre-announcement returns to anticipate the earnings surprise...

... financial analysts incentives trading strategy market efficiency The target price implied return is the ratio of the analyst consensus target price to the current stock price minus 1, that is, \(\def\upalpha{\unicode[Times]{x3B1}}\)\(\def\upbeta{\unicode[Times]{x3B2}}\)\(\def\upgamma{\unicode...

... of Directors' goal to promote broad dissemination of the AAA Presidential Scholar Lecture. Editor's note: Invited. May 2018 December 2018 2019 fundamental analysis quantitative investing market efficiency I have spent much of my career teaching students how to interpret...

... of Mark L. DeFond. July 2014 October 2017 2018 seasonal affective disorder analyst forecasts market efficiency We appreciate the helpful comments from Lisa Kramer, Maurice Levi, Daniel Thornton, anonymous reviewers, Mark Bradshaw (editor), and workshop participants...

... disclosures are associated with increases in the number of analyst earnings forecasts and revisions, and in the dispersion of forecasts. November 2011 October 2013 2014 tone management qualitative disclosure earnings management market efficiency...

... thank Xuan Huang and Peng-Chia Chiu for expert research assistance. Editor's note: Accepted by John Harry Evans III. January 2012 September 2013 2014 book-tax differences arbitrage market efficiency anomalies mispricing...

... and Securities Prices . New York, NY : Basic Books . Fama , E . 1998 . Market efficiency, long-term returns, and behavioral finance . Journal of Financial Economics 49 ( 3 ): 283 – 306 . 10.1016/S0304-405X(98)00026-9...

...Siew Hong Teoh; Yinglei Zhang ABSTRACT Ex post trimming of extreme returns observations that are not data errors causes spurious inferences in tests of market efficiency and behavioral explanations for anomalies. Trimming causes a downward truncation bias in estimated mean returns...