This paper finds the weekend effect to be a remarkably robust anomaly and refutes the widespread belief that the weekend effect is due to data-mining or a consequence of some unusual/rare events. Out-of-sample analysis finds both the mean and median return on Monday is lower than that on Friday...

We document a counter-intuitive finding regarding analyst forecasts of quarterly earnings per share (EPS): magnitudes of deviations from benchmarks - individual forecasts versus consensus (dispersion) and consensus versus actual (forecast error) - do not vary with scale. Seasonally-differenced...

We document substantial management of reported and forecast EPS for analyst-followed US firms, with the extent of management increasing with share price. Managers smooth the volatility of reported EPS by using accruals to offset cash flow shocks. Smoother EPS is easier to forecast, resulting in...

This paper finds the weekend effect to be a remarkably robust anomaly and refutes the widespread belief that the weekend effect is due to data-mining or a consequence of some unusual/rare events. Out-of-sample analysis finds both the mean and median return on Monday is lower than that on Friday...