This paper provides evidence that firms signal their private information about future earnings by their choice of split factor. Split factors are increasing in earnings forecast errors, after controlling for differences in pre-split price and firm size. Further more, price changes at stock...

In a recent article, F. Black introduces the concept of noise trading, defin ed as trading on noise as if it were information. He asserts that suc h trading must be a significant factor in securities markets, but doe s not explain why investors would rationally trade on noise. The goal of this...

Using a large database of analysts' target prices issued over the period 1997-1999, we examine short-term market reactions to target price revisions and long-term comovement of target and stock prices. We find a significant market reaction to the information contained in analysts' target prices,...

We document that purchasing (selling short) stocks with the most (least) favorable consensus recommendations, in conjunction with daily portfolio rebalancing and a timely response to recommendation changes, yield annual abnormal gross returns greater than four percent. Less frequent portfolio...

We analyze tests for long-run abnormal returns and document that two approaches yield well-specified test statistics in random samples. The first uses a traditional event study framework and buy-and-hold abnormal returns calculated using carefully constructed reference portfolios. Inference is...

Individual investors who hold common stocks directly pay a tremendous performance penalty for active trading. Of 66,465 households with accounts at a large discount broker during 1991 to 1996, those that trade most earn an annual return of 11.4 percent, while the market returns 17.9 percent. The...