The relation between average equity return and market exposure behaves distinctively on days on which early earnings announcements are made by firms for which the announcements have a large spillover “influence” on discount rates and expectations of earnings for related firms. On such days...

Earnings announcements present a clear risk to investors and, under rational asset pricing theory, such risk should be consistently priced in stocks. However, we find that stocks with high earnings announcement risk earn significantly higher returns only during months when firms have earnings or...

We solve analytically a pure exchange general equilibrium model with a continuum of agents that agree to disagree on how they interpret information. Disagreement fluctuates with information quality and the disagreement model is estimated using data on professional forecasts. We fi nd that...

We document a significant positive relation between earnings announcement idiosyncratic volatility and stock returns in the 10-day window before future earnings announcements. The average of risk-adjusted return differences between stocks with the highest earnings announcement idiosyncratic...

We apply state-of-the-art financial machine learning to assess the return-predictive value of more than 45,000 earnings announcements on a majority of S&P1500 constituents. To represent the diverse information content of earnings announcements, we generate predictor variables based on various...

This paper builds a theoretical framework to endogeneize the editorial decisions of media and analyze their asset pricing implications. The media outlet optimally reports man-bites-dog signals by choosing to report about the firm that generates more uncertainty to investors. There are three main...

A growing body of literature analyses the impact of news on companies' equity prices. We add to this literature by showing that the transmission channel of news to prices differs across sectors. First, we disentangle sectoral equity prices into components of expected future earnings and equity...

We show that the stock market regularly and systematically receives information about company fundamentals through month-end reporting, even before the quarterly earnings announcement. Such cash-flow news concentrates at the beginning of a month and affects company announcements, analyst...