<heading id="h1" level="1" implicit="yes" format="display">ABSTRACT</heading>Prior research has documented that earnings announcements provide information not only about the announcing firm but also about other firms in the same industry. We document a stock market anomaly associated with this phenomenon of intra-industry information transfers by showing that the...

We investigate whether surprises in quarterly tax expense predict future returns, after controlling for surprises in after-tax book income. We find that seasonally-differenced quarterly tax expense, our proxy for tax expense surprise, is positively related to future returns over the next two...