The literature on ‘cash flow' or ‘earnings' beta is theoretically well-motivated in its use of fundamentals, instead of returns, to measure systematic risk. However, empirical measures of earnings beta based on either log-linearizing the return equation or log-linearizing the clean-surplus...

Using monthly and quarterly cross-sectional dispersion in firm level earnings news as a proxy for investor uncertainty about the implications of current aggregate earnings for future discount rates, I find that higher investor uncertainty leads to a lower stock market reaction to aggregate...

We develop and test explanations for sources of intertemporal variation in the information content of aggregate earnings and how that variation explains variation in the relation between aggregate earnings growth and market returns over time. We find that the correlation between aggregate...

We decompose earnings yield into a smoothing component and a stationary residual component to isolate the fluctuations due to variation in expected returns from those due to the change in the forecast of dividend dynamics. The residual component forms a powerful predictor of dividend growth...

The relation between aggregate earnings and aggregate returns is complex and not fully understood. For example, in contrast to firm-level relations, prior literature finds aggregate earnings changes and aggregate stock returns are negatively related. This paper constructs new measures of...

Current R&D expenditures forecast cash-based operating profitability up to three years in the future and sometimes as much as ten years, but do not forecast asset growth. High R&D firms have positive loadings on a cash-based operating profitability factor, and zero alphas. Capitalizing R&D to...

In this paper, we extend the literature on crash prediction models in three main ways. First, we explicitly relate crash prediction measures and asset pricing models. Second, we present a simple, effective statistical significance test for crash prediction models. Finally, we propose a...

In this study, we test a set of country macro sentiment indexes that measure the trailing sentiment on both scheduled and unscheduled economic and geopolitical news events. We develop a cross-over strategy in the FX market based on short to long-term news sentiment inflection points covering the...

We document that the variation in market liquidity is an important determinant of momentum crashes that is independent of other known explanations surfaced on this topic. This relationship is driven by the asymmetric large return sensitivity of short-leg of momentum portfolio to changes in...

This paper provides global evidence supporting the hypothesis that expected return models are enhanced by the inclusion of variables that describe the evolution of book-to-market-changes in book value, changes in price, and net share issues. This conclusion is supported using data representing...