We show negative stock returns reverse more and contain less information on the long-term changes in share prices than positive stock returns mostly on nondisclosure days, and these information differences between negative and positive returns decrease substantially on disclosure days. The...

We suggest that the failure of investors to distinguish between an earnings component's autocorrelation coefficient (unconditional persistence) and the marginal contribution of that component's persistence to the persistence of earnings (conditional persistence) provides a partial explanation to...

Investors are reluctant to trade in the high-information-asymmetry days before earnings announcements. We show that the decrease in liquidity trading before announcements is asymmetric. We analyze buy and sell orders of investors with passive investment strategies, and find they do not reduce...

Trading outside the main session occurs between 4:00PM-8:00PM and 4:00AM-9:30AM and is typically dominated by institutional investors, as retail investors are discouraged to trade in the extended trading hours. This study examines whether trading in the extended hours is predictive of future...

Financial analysis often involves decomposing variables into components, emphasizing the structured hierarchy among ratios. We distinguish between unconditional persistence (a variable's autocorrelation coefficient), and conditional persistence (the power of a variable's persistence to explain...