We exploit differences in institutional and macroeconomic environments to shed light on what drives variation in the aggregate earnings-returns relation over time within the U.S. and across countries. We find that both intertemporal and cross-country variation in the aggregate earnings-returns...

This paper examines a mixed data sampling (MIDAS) approach to accounting research. MIDAS regression models parsimoniously incorporate variation embedded in existing economic data that are observed at much higher frequencies than accounting data. The additional source of data variation creates an...

We propose and find that aggregating a small number of earnings signals from highly macroeconomically exposed firms yields an informative leading indicator of future GDP. This challenges the convention of defining aggregate earnings using a comprehensive set of public earnings signals. Our...

We examine the association between I/B/E/S's disclosure of non-GAAP earnings and investor uncertainty around earnings announcements. On one hand, investor uncertainty may decrease with I/B/E/S's non-GAAP disclosure because these disclosures make investors aware of alternative performance...

Can an earnings announcement decrease disagreement about fundamentals while simultaneously increasing disagreement about price? Recent theory suggests the presence of short-horizon investors can lead to a polarization of higher-order beliefs about price (i.e., beliefs regarding the opinions of...

We exploit the change in U.S. segment reporting rules (from SFAS 14 to SFAS 131) to examine two motives for managers to conceal segment profits: proprietary costs and agency costs. Managers face proprietary costs of segment disclosure if the revelation of a segment that earns high abnormal...

We examine whether organizational form matters for a firm's cost of capital. Contrary to conventional view, we argue that coinsurance among a firm's business units can reduce systematic risk through the avoidance of countercyclical deadweight costs. We find that diversified firms have on average...