Purpose: This study aims to evaluate the earnings forecasting models of Hou et al. (J Account Econ, 53:504–526, 2012) and Li and Mohanram (Rev Account Stud, 19:1152–1185, 2014) in terms of bias and accuracy and validity of the implied cost of capital (ICC) estimates for a sample of initial...

Using the new CRSP compilation of daily trading volume data from 1926 to 1962, this paper conducts a detailed analysis of liquidity from 1926 to 2005. It distinguishes liquidity risk from liquidity as a characteristic and presents new evidence on the importance of liquidity risk in asset...

This paper examines the two-factor model of Liu (2006) using the recent CRSP compilation of daily trading volume data between 1926 and 1962. I find that the liquidity premium is as strong for the early period as for the post 1963-period, and it is the most significant and persistent premium...

This paper examines the two-factor model of Liu (2006) using the recent CRSP compilation of daily trading volume data between 1926 and 1962. I find that the liquidity premium is as strong for the early period as for the post 1963-period, and it is the most significant and persistent premium...

This paper examines the role of liquidity risk in explaining the cross-section of asset returns using a new measure of liquidity that captures its multi-dimensional nature. This new measure earns a robust liquidity premium that the CAPM and the Fama-French three-factor model cannot explain. I...

This paper fills a void in the market efficiency literature by testing for the presence of post-earnings announcement drift in the non-US market. We test for drift using alternative earnings surprise measures based on: (i) the time-series of earnings; (ii) market prices; and (iii) analyst...