This paper studies expectations formation when the underlying process has fat tails. Using a large sample of firm sales growth expectations, we document three facts: (i) the relationship between forecast revisions and future forecast errors is strongly non-linear, (ii) the distribution of sales...

We empirically analyze a large sample of firm sales growth expectations. We find that the relationship between forecast errors and lagged revision is non-linear. Forecasters underreact to typical (positive or negative) news about future sales, but overreact to very significant news. To account...

In this paper, we ask which ex-ante characteristics empirically predict the out-of-sample drop in risk-adjusted performance of published stock anomalies. Our sample is a large cross- section of anomalies published in finance and academic journals, and we define out-of-sample as the...

Yes, but only at short lags. In this paper we investigate the relationship between factor momentum and stock momentum. Using a sample of 72 factors documented in the literature, we first replicate earlier findings that factor momentum exists and works both directionally and cross-sectionally. We...