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...

A firm's long-term stock returns are negatively related to past growth in housing prices in the state where the firm is located. The housing price effect is persistent over time and robust to controlling for common risk factors, the long-term stock return reversal effect, changes in mortgage...

There is reliable evidence that managers smooth their reported earnings. If some firms manage earnings downwards (upwards) when they experience large positive (negative) earnings shocks and if investors have cognitive limits or are inattentive, then it is plausible that the post-earnings...