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When does the bond price reaction to earnings announcements predict future stock returns?
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When does the bond price reaction to earnings announcements predict future stock returns? (2017)When does the bond price reaction to earn…In Search of Attention (2011)In Search of AttentionInvestor Inattention and Friday Earnings Announcements (2009)Investor Inattention and Frid…Individual Investor Trading and Stock Returns (2008)Individual Investor Trading a…Liquidity and Market Efficiency (2007)Liquidity and Market Efficien…Corporate Bond Market Transaction Costs and Transparency (2007)Corporate Bond Market Transac…An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps (2005)An Empirical Analysis of the …Errors in Estimating Accruals: Implications for Empirical Research (2002)Errors in Estimating Accruals…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Do Stock Prices Fully Reflect Information in Accruals and Cash Flows about Future Earnings? (1997)Do Stock Prices Fully Reflect…Momentum Strategies (1996)Momentum StrategiesDo Stock Prices Fully Reflect Information in Accruals and Cash Flows About Future Earnings? (1996)Do Stock Prices Fully Reflect…Fundamental Information Analysis (1993)Fundamental Information Analy…Evidence that stock prices do not fully reflect the implications of current earnings for future earnings (1990)Evidence that stock prices do…Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium? (1989)Post-Earnings-Announcement Dr…Financial statement analysis and the prediction of stock returns (1989)Financial statement analysis …Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Are SPAC Revenue Forecasts Informative? (2023)Are SPAC Revenue Forecasts In…The Role of Social Media in the Corporate Bond Market: Evidence from Twitter (2022)The Role of Social Media in t…Bond Market Transparency and Stock Price Crash Risk: Evidence from a Natural Experiment (2022)Bond Market Transparency and …What moves stock prices around credit rating changes? (2021)What moves stock prices aroun…The Effect of Market Transparency on Corporate Disclosure: Evidence from the Observability of Bond Prices and Trading (2021)The Effect of Market Transpar…Retail Investor Trading and Market Reactions to Earnings Announcements (2021)Retail Investor Trading and M…Endogenous inattention and risk-specific price underreaction in corporate bonds (2021)Endogenous inattention and ri…The Effect of Bond Market Transparency on Bank Loan Contracting (2020)The Effect of Bond Market Tra…From Implicit to Explicit: The Impact of Disclosure Requirements on Hidden Transaction Costs (2020)From Implicit to Explicit: Th…Cyberattacks and Impact on Bond Valuation (2019)Cyberattacks and Impact on Bo…Editor's Choice Digesting Anomalies: An Investment ApproachMean reversion in stock prices (1988)Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1 (1998)Investor Psychology and Asset Pricing (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Noise Trader Risk in Financial Markets (1990)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Psychology and Security Market Under‐ and Overreactions (1998)Driven to Distraction: Extraneous Events and Underreaction to Earnings News (2009)Innovative efficiency and stock returns (2012)Sentiment During Recessions (2012)Common risk factors in the returns on stocks and bonds (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Investor Sentiment and the Cross‐Section of Stock Returns (2006)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)Wisdom of Crowds: The Value of Stock Opinions Transmitted Through Social Media (2014)Attention to Global Warming (2019)Accounting earnings and cash flows as measures of firm performance (1994)The pricing of discretionary accruals (1996)The Quality of Accruals and Earnings: The Role of Accrual Estimation Errors (2002)Performance matched discretionary accrual measures (2005)Detecting Earnings Management (2012)The Cross-Section of Expected Stock Returns (1992)Market Efficiency, Long-Term Returns, and Behavioral Finance (1997)Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation (2000)Replicating Anomalies (2018)The economic implications of corporate financial reporting (2005)The market pricing of accruals quality (2005)Understanding earnings quality: A review of the proxies, their determinants and their consequences (2010)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)Does the stock market fully value intangibles? Employee satisfaction and equity prices (2011)… and the Cross-Section of Expected Returns (2015)
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References

  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2011In Search of Attention3,088 cited
  • 1996Do Stock Prices Fully Reflect Information in Accruals and Cash Flows About Future Earnings?2,636 cited
  • 1989Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium?2,314 cited
  • 1997Do Stock Prices Fully Reflect Information in Accruals and Cash Flows about Future Earnings?2,181 cited
  • 1990Evidence that stock prices do not fully reflect the implications of current earnings for future earnings2,010 cited
  • 2009Investor Inattention and Friday Earnings Announcements1,740 cited
  • 2002Errors in Estimating Accruals: Implications for Empirical Research1,683 cited
  • 1996Momentum Strategies1,275 cited
  • 2005An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps1,166 cited
  • 1993Fundamental Information Analysis1,084 cited
  • 2008Individual Investor Trading and Stock Returns1,014 cited
  • 1989Financial statement analysis and the prediction of stock returns996 cited
  • 2007Liquidity and Market Efficiency984 cited

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  • 2007Corporate Bond Market Transaction Costs and Transparency966 cited
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    • 2020From Implicit to Explicit: The Impact of Disclosure Requirements on Hidden Transaction Costs27 cited
    • 2021Endogenous inattention and risk-specific price underreaction in corporate bonds25 cited
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    • 2020The Effect of Bond Market Transparency on Bank Loan Contracting23 cited
    • 2021The Effect of Market Transparency on Corporate Disclosure: Evidence from the Observability of Bond Prices and Trading18 cited