abnormal returns

Dividends can pay–without paying!

The Dividend Month Premium Sam Hartzmark and David Solomon A recent version of the paper can be found here. Abstract: We document that companies have [...]

R&D to your portfolio’s rescue!

The Stock Market Valuation of Research and Development Expenditures Louis Chan, Josef Lakonishok, and Theodore Sougiannis A recent version of the paper can be found [...]

A Better Buyback Strategy

Repurchases, Reputation, and Returns Alice Bonaime A recent version of the paper  can be found here. Abstract: This paper examines whether a firm’s reputation is [...]

Stop Using the Altman-Z Score.

Ed Altman is simply a legend. Everyone in finance is familiar with the Altman Z-Score and many analysts use it religiously--despite the fact there has [...]

Juicing up the Accrual Anomaly

Percent Accruals Nader Hafzalla, Russell Lundholm, and Matt Van Winkle A version of the paper  can be found here. Abstract: We document how the effectiveness [...]

Textual Analysis and Trading Strategies

When is a Liability not a Liability? Textual Analysis, Dictionaries, and 10-Ks. Tim Loughran and Bill McDonald A published version of the paper  can be [...]

Follow the Short-Sell Demand

Supply and Demand Shifts in the Shorting Market Lauren Cohen, Karl B. Diether and Chirstopher J. Malloy A version of the paper  can be found [...]

The Ultimate Short Book.

Identifying Overvalued Equity Messod Beneish and Craig Nichols A version of the paper  can be found here. Live implementation data can be found at Empirical Finance [...]

Technical Analysis may actually work!

A New Anomaly: The Cross-Sectional Profitability of Technical Analysis Yufeng Han, Ke Yang, and Guofu Zhou A version of the paper  can be found here. [...]

Is Trading with Twitter only for Twits?

Tweets and Trades: The Information Content of Stock Microblogs Timm Sprenger and Isabell Welpe A version of the paper  can be found here. Abstract: Microblogging [...]

Goodwill Gone Bad

Have Goodwill Accounting Gone Bad? Kevin Li and Richard Sloan A version of the paper  can be found here. Live implementation data can be found [...]

Asset Growth Across Countries

A new working paper investigates the asset growth anomaly across multiple countries and finds that the effect is fairly robust. Here is the link to [...]

Don’t Short Sell the Value of Fundamentals!

The Role of Fundamental Analysis in Information Arbitrage: Evidence from Short Seller Recommendations Hemang Desai, Srinivasan Krishnamurthy and Kumar Venkataraman A version of the paper [...]

Dual-Class Shares: A First-Class Strategy

Mispricing of Dual-Class Shares: Profit Opportunities, Arbitrage, and Trading Paul H. Schultz and Sophia Shive A version of the paper can be found here. We maintain [...]

Disasters and Investing

Sentiment and Stock Prices: The Case of Aviation Disasters Guy Kaplanski and Kaim Levy A version of the paper can be found here. Abstract: Behavioral economic [...]

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