… Jegadeesh and Titman (JT) document that US stocks that perform the best (worst) over a
three- to 12-month period tend to continue to perform well (poorly) over the subsequent three to …

We examine whether the predictability of future returns from past returns is due to the market's
underreaction to information, in particular to past earnings news. Past return and past …

… Under this interpretation, the test statistic in Jegadeesh and Titman should be viewed as
the highest order statistic across many tests rather than as a conventional test statistic from a …

This paper documents that strategies which buy stocks that have performed well in the past
and sell stocks that have performed poorly in the past generate significant positive returns …

This paper presents new empirical evidence of predictability of individual stock returns. The
negative first‐order serial correlation in monthly stock returns is highly significant. …

We show that analysts from sell‐side firms generally recommend “glamour” (ie, positive
momentum, high growth, high volume, and relatively expensive) stocks. Naïve adherence to …

We investigate the value of active mutual fund management by examining the stockholdings
and trades of mutual funds. We fine that stocks widely held by funds do not outperform other …

An exclusive focus on bottom-line income misses important information about the quality of
earnings. Accruals (the difference between accounting earnings and cash flow) are reliably, …

In this article we are concerned with the effect of the number of investment analysts following
a firm on the speed of adjustment of the firm’s stock price to new information that has …

Several recent papers present signaling models in which firms underprice their initial public
offerings of equity (IPOs) so that they can subsequently issue seasoned equity at more …