This study generates out-of-sample predictions from training data to construct investment portfolios that are mean-variance optimized and rebalanced daily to assess gains from incorporating signals based on post-earnings announcement drift (PEAD), the earnings announcement premium (EAP), and...

Using a novel dataset, we show that components of firms' GAAP earnings stemming from ancillary business activities or transitory shocks are significant in frequency and magnitude. These components have grown over time and are dispersed across various sections of the 10-K. Excluding them from...

During times when the Chinese government wished to prop up the market, sell-side analysts from brokerages with significant government ownership issued relatively less pessimistic (or more optimistic) earnings forecasts, earnings-forecast revisions, and stock recommendations; they were also...