This paper extends the study of Herrmann and Thomas (2005) on granularity in analyst forecasts at multiples of nickels and finds that forecasts at multiples of nickels are more optimistic, and induce weaker market responses. Granularity in analyst forecasts combined with managers’ incentive to...

This study investigates security analysts' reactions to public management guidance and assesses whether managers successfully guide analysts toward beatable earnings targets. We use a panel dataset between 1995 and 2001 to examine the fiscal-quarter-specific determinants of management guidance...

News sentiment has been empirically observed to have impact on financial market returns. In this study, we investigate firm-specific news from the Thomson Reuters News Analytics data from 2003 to 2014 and propose an optimal trading strategy based on a sentiment shock score and a sentiment trend...

News sentiment has been empirically observed to have impact on financial market. However, finding a clear predictor of market returns using news sentiment remains a challenging task. This study investigates the relationship between news sentiment and cumulative market returns and volatility. We...

In the aftermath of the financial crisis in 2008 and over the course of the European debt crisis, the ECB announced a number of unconventional monetary policy implementations with the aim of restoring confidence in the functioning of the European financial system. This paper studies the effect...

How does a public announcement about a company exploring its potential sale or merger (“strategic alternatives”) affect the company and its shareholders? This study provides the first look at some of the positive and negative consequences to this unique disclosure of strategic alternatives....

More than 650 U.S. public company executives predict the stock price response to their quarterly financial reports and share their prediction after under a nondisclosure agreement. Despite having full knowledge of the reports before their release, executives’ estimates differ from realized...

The Federal Reserve announces its new interest rate target while the stock market is open, at precisely 2:15 P.M. eight times a year. In the Efficient Markets model, information is impounded in prices immediately and accurately as soon as it becomes public knowledge and only the unanticipated...

Previous research in finance has found evidences of both overreaction and underreaction to unanticipated events, but has yet to explain why investors overreact to certain events while underreacting to others. In this paper, we hypothesize that while market participants generally underreact to...

The inability of price to incorporate public information is a consequence of the illiquidity of price itself. This presupposition is predicated on a recurring event within the pharmaceutical sector of the stock market: the approval or denial of new drugs for commercial distribution. The Federal...