We systematically study the value of the information contained in closed-end fund (CEF) premiums. We parametrically estimate CEF expected returns as a function of the history of CEF premiums, in addition to the current premium, and buy the quintile of funds with the highest expected returns and...

We establish a robust link between momentum and accruals. Momentum profitability is mostly concentrated in firms with high accruals. Cross-sectional characteristics of momentum previously documented do not subsume the effect of accruals on momentum. Loser stocks with high accruals experience...

By using a proprietary real–time daily online sales data collected in China from 10–billion consumer accounts, this paper finds that the firm–level daily online sales growth (DOSG) can positively predict future one–day to more than three–month cumulative stock returns in the cross...