Hundreds of papers and factors attempt to explain the cross-section of expected returns.
Given this extensive data mining, it does not make sense to use the usual criteria for …

We find that firms experiencing improvements in crowdsourced employer ratings
significantly outperform firms with declines. The return effect is concentrated among reviews …

Firms scheduled to report earnings earn an annualized abnormal return of 9.9%. We
propose a risk‐based explanation for this phenomenon, whereby investors use …

It is well established that value stocks outperform glamour stocks, yet considerable debate
exists about whether the return differential reflects compensation for risk or mispricing …

We investigate whether stock betas vary with the release of firm-specific news. Using daily
firm-level betas estimated from intraday prices, we find that betas increase on earnings …

A central issue in finance is whether stock prices move because of revisions in expected
cash flows or discount rates, and by how much of each. Using direct cash flow forecasts, we …

Stock returns unexplained by “fundamentals,” such as cash flow news, are more likely to
reverse in the short run than those linked to fundamental news. Making novel use of analyst …

The accounting literature has traditionally focused on firm-level studies to examine the
capital market implications of earnings and other accounting variables. We first develop the …

We study the value premium using the multiples‐based market‐to‐book decomposition of
Rhodes‐Kropf, Robinson, and Viswanathan (2005). The market‐to‐value component drives …

Recent research suggests that machine learning models dominate traditional linear models
in predicting cross-sectional stock returns. We confirm this finding when predicting one …