This paper examines whether a simple accounting-based fundamental analysis strategy, when applied to a broad portfolio of high book-to-market firms, can shift the distribution of returns earned by an investor. I show that the mean return earned by a high book-to-market investor can be increased...

Using essentially all Moody's bond ratings changes between 1970 and 1997, we find no reliable abnormal returns following bond rating upgrades. However, we find negative abnormal returns on the magnitude of 10 to 14 percent in the first year following downgrades. Additional results reveal that...

This paper examines whether insider trades reflect the insiders' superior knowledge of future cash flow realizations, as proxied by the firm's future return and earnings performance. We find strong evidence that insider trades are positively associated with the firm's future earnings...

This paper examines the impact of management forecasts on short-term stock return volatility. Two measures of volatility are employed: excess intra-day price volatility and the standard deviation of returns. I find that the average management forecast is followed by heightened volatility in the...

We investigate the extent to which the trading and trade-generating activities of three informed market participants -- financial analysts, institutional investors, and insiders -- influence the relative amount of firm-specific, industry-level and market-level information impounded into stock...

This paper identifies cross-sectional factors that motivate the disclosure of forward-looking earnings information and documents that these disclosures impact market prices by quot;pulling forwardquot; future earnings information. We examine a set of firms facing poor current earnings...

We use a comprehensive sample that comprises essentially all Moody's bond rating changes between 1970 and 1997 to examine the long-run stock returns following the changes. Our main finding is that stocks with upgrades outperform stocks with downgrades for up to one year following the...

This study investigates the long-run stock returns following issues of corporate debt. The investigation of long-run returns allows us to use a balance sheet-based method of identifying debt issuers, which has two major advantages. First, the balance sheet method identifies both public and...

We investigate whether unpleasant environmental conditions affect stock market participants' responses to information events. We draw from psychology research to develop a new prediction that weather-induced negative moods reduce market participants' activity levels. Exploiting geographic...