Researchers have used various measures as indications of “earnings quality” including
persistence, accruals, smoothness, timeliness, loss avoidance, investor responsiveness …

We survey recent research in accounting anomalies and fundamental analysis. We use
forecasting of future earnings and returns as our organizing framework and suggest a …

We provide data and code that successfully reproduces nearly all crosssectional stock return
predictors. Our 319 characteristics draw from previous meta-studies, but we differ by …

In the investment theory, firms with high expected investment growth earn higher expected
returns than firms with low expected investment growth, holding investment and expected …

We use deep neural networks to estimate an asset pricing model for individual stock returns
that takes advantage of the vast amount of conditioning information, keeps a fully flexible …

Most anomalies fail to hold up to currently acceptable standards for empirical finance. With
microcaps mitigated via NYSE breakpoints and value-weighted returns, 65% of the 452 …

We propose a model selection method to systematically evaluate the contribution to asset
pricing of any new factor, above and beyond what a high‐dimensional set of existing factors …

Accruals are the non-cash component of earnings. They represent adjustments made to
cash flows to generate a profit measure largely unaffected by the timing of receipts and …

We take up Cochrane's (2011) challenge to identify the firm characteristics that provide
independent information about average US monthly stock returns by simultaneously …

We investigate whether investors price accruals quality, our proxy for the information risk
associated with earnings. Measuring accruals quality (AQ) as the standard deviation of …