In a competitive information market, a single information source can only dominate other sources individually, not collectively. We explore whether earnings announcements constitute such a dominant source using Ball and Shivakumar's (2008) R2 metric: the proportion of the variation in annual...

Earnings announcement days on average provide more information to the stock market than any other days in each quarter. In particular, the proportions of the variation in annual returns explained by returns on days with dividend announcements, management forecasts, preannouncements, or 10-K and...

Prior research concludes that financial analysts do not process public information efficiently in generating their earnings forecasts. The OLS regression-based tests used in prior studies assume implicitly that analysts face a quadratic loss function, or that analysts minimize their squared...

We examine whether financial analysts fully incorporate expected inflation in their earnings forecasts for individual stocks. We find that expected inflation proxies, such as lagged inflation and inflation forecasts from the Michigan Survey of Consumers, predict the future earnings change of a...

In this study, we examine the impact of a market-wide mandatory disclosure policy on short selling on the Tokyo Stock Exchange. We find that average short selling slightly declined while investors' shorting strategies changed significantly in response to the disclosure. Previously highly shorted...

We find that higher stock lending fees predict significantly lower future returns after controlling for shorting demand for U.S. stocks during the period 2007–2010. These results suggest that active institutional investors on the supply side play an important role in the return predictability...

Short sellers are known to have private information about security prices. Empirical evidence of short selling, however, is based on only half of short sellers' trading activity; specifically, the opening of the position. Using disclosed large short position data from the Japanese stock market,...

This study examines how increased regulatory attention to portfolio pumping affects the trading behavior of U.S. mutual funds. Attention by regulators should increase the likelihood of fines and reputational damage, raising the cost of such last-minute price manipulation. Consistent with this...

We develop and test an explanation for the rights issue paradox that stems from risk of offering failure. Firms can reduce failure risk by getting underwriting or by self-insuring through subscription price discounts and subscription precommitments. Self-insurance is generally regarded to be...

University of Minnesota Ph.D. June 2008. Major: Business Administration. Advisors: Alexander, Gordon J., Meschke, Felix, Singh, Rajdeep. 1 computer file (PDF); viii, 101 pages.