We explore the possibility that overnight returns can serve as a measure of firm-specific investor sentiment by analyzing whether they exhibit characteristics expected of a sentiment measure. First, we document short-term persistence in overnight returns, consistent with existing evidence of...

We examine how using stock as the method of payment affects a bidder's investor base and investor recognition, and the bidder announcement return. We hypothesize that relative to a cash acquisition, a stock acquisition would increase the bidder's investor base and lower Merton's (1987) shadow...

We explore analysts' earnings forecast data to improve upon one popular disagreement measure — the analyst forecast dispersion measure — proposed by Diether, Malloy, and Scherbina (2002). Our analysis suggests that changes in the standard deviations of forecasted earnings can work as a...

The first Global Climate Strike on March 15, 2019 has represented a historical turn in climate activism. We investigate the cross-section of European stock price reactions to this event. Looking at a large sample of European firms, we find that the unanticipated success of this event caused a...

The following paper aims to assess investor reaction to mandatory offers on the Warsaw Stock Exchange, which is important because knowledge about these reactions can be used to make better investment decisions. This paper highlights the importance of procedure in making a mandatory offer and its...

This paper investigates the information content of registered insider sales in the Seasoned Equity Offering (SEO) process from 1997-2009. We find that initial market reactions and long-run post-issue stock performance are negatively related to C-level executive insider sales, but unrelated to...

We establish a link between firms managing investors' performance expectations, earnings announcement premia, and cyclical patterns (i.e., seasonalities) in returns. Firms that are more likely to manage expectations toward beatable levels predictably earn lower returns before, and higher returns...

This paper finds that the majority of stock price movements remain unexplained after controlling for both public and private information. This suggests that economists' inability to explain asset price movements is the result of either noise or naive asset pricing models.

This paper investigates whether the market reaction to second-hand information is due to price pressure or information dissemination. We use the perspective of attention grabbing to analyze the market reaction to the dissemination of analysts' recommendations published in print media. This...

This study constructs the institutional- and individual-based probability of informed trading (PIN) by adjusting Easley, Hvidkjaer and O'Hara (2002) and investigates the impact of the informed trading behaviors of institutions and individuals on the post-announcement drift around the earnings...