This paper documents a significantly negative cross-sectional relation between left-tail risk and future returns on individual stocks trading in the U.S. and international countries. We provide a behavioral explanation to this anomaly based on the idea that investors underestimate the...

This study investigates the relationship between tax expense surprise and expected equity returns in emerging markets. Using a broad sample of equities from 27 emerging countries, we find a strong positive link between tax expense surprise and the cross-sectional expected stock returns....

This study investigates the relation between tax expense surprise and expected equity returns in emerging markets. Utilizing a broad sample of equities from 27 emerging countries, we find strongly positive link between tax expense surprise and the cross-sectional expected stock returns....

Prior research documents that volatility spreads predict stock returns. If the trading activity of informed investors is an important driver of volatility spreads, then the predictability of stock returns should be more pronounced during major information events. This paper investigates whether...

We study the impact of debt covenants on earnings announcement returns by creating 10 covenant groups and a covenant index using event-study methodology. We find that during bad news, whether it stems from a bad earnings surprise or a negative average market reaction, both the index and most...