Prior research has found that investors have strong preferences for stocks with positive skewness. These preferences have been shown to lead to price premiums and subsequent underperformance. This study extends this growing body of literature by testing whether the underperformance of stocks...

This study tests whether or not investors are compensated for holding stocks with excess kurtosis. Contrary to the risk-based idea, we find a significant negative return premium associated with idiosyncratic kurtosis. These results hold in a number of Fama-MacBeth (1973) regressions that include...

Recent research finds that investors, broadly defined, react to the linguistic tone of quarterly earnings conference calls; there is a positive relation between firms' stock returns and call tone (a measure of “sentiment” related word tabulations). However, this type of soft information can...