Motivated by investor disagreement and corporate disclosure literatures, we examine how stock price shocks affect future stock returns. We find that both large short-term price drops and hikes are followed by negative abnormal returns over the subsequent year, consistent with the conjecture that...

This paper tests several predictions from an information diffusion framework in the quarterly earnings announcement setting. First, post-announcement drift is documented only for earnings announcements that have high information content (uncertainty), measured by high abnormal trading volume and...