The size of the equity risk premium remains an unanswered question in the accounting and finance literature. This study proposes a new approach to reverse-engineer the equity risk premium, distinct from prior research, in that it does not rely on analysts’ forecasts to proxy for the market’s...

This paper studies the first day return of 227 carve-outs during 1996-2013. I find that the first day return of newly issued subsidiary stocks is explained by the reporting distortions in the pre IPO period, conditioned on whether the executives and directors of the subsidiary received stock...

We show that a lack of investor trust affects the revision of cash flow expectations and delays the incorporation of accounting information into the stock price. To overcome investors' dependence on trust, managers can obtain external certification—either through credit ratings or by employing...

We study the effect of a mandatory improvement in public disclosure due to the adoption of International Financial Reporting Standards (IFRS) on the stock return predictability of shorting activity. To assess the impact of the disclosure shock, we measure monthly changes in the demand for and...

The size of the equity risk premium remains an unanswered question in the accounting and finance literature. This study proposes a new approach to reverse-engineer the equity risk premium, distinct from prior research, in that it does not rely on analysts' forecasts to proxy for the market's...

In recent studies, the analysts' consensus forecasts are widely used as a proxy for the unobservable market's consensus expectation of future earnings. As prior studies indicate, the analysts' consensus forecasts measure the true underlying construct with errors and the errors may vary...

We reexamine the time-series properties and determinants of the relation between aggregate earnings and returns (earnings response coefficient, ERC) employing return decompositions with longer historical data. We find that aggregate ERC is time-varying, above and beyond the evidence documented...