We propose a simple framework for understanding accounting-based stock return regularities. A firm's accounting reports provide noisy information about hidden economic states that evolve according to a Markov process. In response to the accounting reports, a representative Bayesian investor...

SEC-mandated, machine-readable structured filings, or “as-filed data,” are an alternative source to Compustat for companies’ accounting data. Discrepancies between as-filed and Compustat data, potentially a result of Compustat’s standardizations, affect inferences about the existence and...

We examine how strategic trade affects expected returns in a large economy. In our model, both a monopolist (strategic) informed trader and uninformed traders consider the impact of their demands on prices. In contrast to settings with price-taking traders, private information never eliminates a...