Heston and Sadka (2008) document the return seasonality anomaly—that cross-sectional stock returns depend on their historical same calendar-month returns. We propose an information-cycle explanation for this anomaly, that firms’ seasonal information releases lead to higher returns in months...

Not all stock recommendation changes are equal. In a sample constructed to minimize the impact of confounding news, relatively few analyst recommendation changes are influential in the sense that they impact investors' beliefs about a firm in a way that could be noticed in that firm's stock...

Typically, the literature evaluates the significance of analyst recommendation changes by their average stock-price impact. With such an approach, recommendation changes can have a significant impact even if no recommendation change has a stock-price impact large enough to be noticed at the...

The investor composition in the US stock market has been undergoing a dramatic shift towards greater institutional ownership. In this paper, we show that the increase in the stock ownership by institutions over time, especially those with focus on short-term performance, is positively related to...