An exclusive focus on bottom-line income misses important information about the quality of earnings. Accruals (the difference between accounting earnings and cash flow) are reliably, negatively associated with future stock returns. Earnings increases that are accompanied by high accruals,...

We examine whether the predictability of future returns from past returns is due to the market's underreaction to information, in particular to past earnings news. Past returns and past earnings surprise each and predict large drifts in future returns after controlling for the other. Market...

We relate the predictability of future returns from past returns to the market's underreaction to information, focusing on past earnings news. Past return and past earnings surprise each predict large drifts in future returns after controlling for the other. There is little evidence of...

Analysts' earnings forecasts are influenced by their desire to win investment banking clients. We hypothesize that the equity bull market of the 1990s, along with the boom in investment banking business, exacerbated analysts' conflict of interest and their incentives to adjust strategically...

Expectations about long-term earnings growth are crucial to valuation models and cost of capital estimates. We analyze historical long-term growth rates across a broad cross-section of stocks using several indicators of operating performance. We test for persistence and predictability in growth....

We examine whether stock prices fully reflect the value of firms? intangible assets, focusing on research and development (Ramp;D). Since intangible assets are not reported on financial statements under current U.S. accounting standards and Ramp;D spending is expensed, the valuation problem may...

Academic and practitioner research yields a proliferation of methods using size and value/growth attributes or factors to evaluate portfolio performance. We assess the relative merits of several of the most widely-used procedures, including variants of matched-characteristic benchmark portfolios...

Expectations about long-term earnings growth are crucial to valuation models and cost of capital estimates. We analyze historical long-term growth rates across a broad cross section of stocks using several indicators of operating performance. We test for persistence and predictability in growth....

The ability to identify which factors best capture systematic return covariation is central to applications of multifactor pricing models. This paper uses a common data set to evaluate the performance of various proposed factors in capturing return comovements. Factors associated with the...

All trades executed by 37 large investment management firms from July 1986 to December 1988 are used to study the price impact and execution cost of the entire sequence (quot;packagequot;) of trades that we interpret as an order. We find that market impact and trading cost are related to firm...