We establish a link between firms managing investors' performance expectations, earnings announcement premia, and cyclical patterns (i.e., seasonalities) in returns. Firms that are more likely to manage expectations toward beatable levels predictably earn lower returns before, and higher returns...

We examine how the information produced by analysts when they initiate coverage contributes to the mix of firm-specific, industry-, and market-wide information available about the firm. We hypothesize that the first analyst to initiate coverage provides low cost market and industry information...

We show meetings of investors and firms convey information about expected returns. Investors frequently travel to meet in-person with firms before investing, and we show firms with abnormally frequent meetings predictably outperform firms with abnormally infrequent meetings by roughly 70-to-100...

We show that analyst coverage proxies contain information about expected returns. We decompose analyst coverage into abnormal and expected components using a simple characteristic-based model and show that firms with abnormally high analyst coverage subsequently outperform firms with abnormally...

It is well established that value stocks outperform glamour stocks, yet considerable debate exists about whether the return differential reflects compensation for risk or mispricing. Under mispricing explanations, prices of glamour (value) firms reflect systematically optimistic (pessimistic)...

We study the use of firms' book-to-market ratios (B/M) in value investing and its implications for comovements in firms’ stock returns and trading volumes. We show B/M has become increasingly detached from common alternative valuation ratios over time while also becoming worse at forecasting...

I examine whether the market's reaction to firms' earnings news varies with analysis (i.e., editorial content) produced by financial journalists. A series of restructuring events at The Wall Street Journal (WSJ) suggests that WSJ articles improve price discovery and increase trading volume at...

Using novel earnings calendar data, we show that firms' advanced scheduling of earnings announcement dates foreshadows their earnings news. Firms that schedule later-than-expected announcement dates subsequently announce worse news than those scheduling earlier-than-expected announcement dates....

Existing research often assumes that firms’ financial reporting choices influence their return comovement with other firms. We examine the validity of that assumption. First, we provide initial evidence suggesting that similarity in two firms’ disclosures not only predicts, but influences,...

Using a dataset constructed from the EDGAR database, this study investigates whether the timing of filing 10-Ks contains useful information to investors. We argue and find that firms with better earnings news are more likely to file their 10-Ks early. We further show that firms experience...