In this article, we use a recently introduced asymmetry measure, IE, to measure the idiosyncratic of commodity futures returns and find that negatively significantly predicts cross sectionally. Furthermore, long–short trading strategy based on generates significant abnormal returns, which cannot be explained by traditional risk factors in persists up 12 months. Moreover, appears priced factor w...

In this online appendix, we provide supplementary results for the paper “Asymmetric Trading Costs Before Earnings Announcements: Implications for Price Discovery and Returns,” including additional evidence on the connection between asymmetric liquidity provision, abnormal order imbalances, and returns; alternative hypotheses; cross-sectional variation; time-series variation; and robustness test...

I this paper we examine the relationship between inventory levels and one-year-ahead earnings of retailers using publicly available financial data. We use benchmarking metrics obtained from operations management literature to demonstrate an inverted-U relationship between abnormal inventory growth and one-year-ahead earnings per share for retailers. We also find that equity analysts do not full...

This paper examines the effects of firm characteristics measured by price-to-book (PB) ratio, free cash flow (FCF), and variability of daily stock return (VDR) on investor reaction in the stock market to IT investment announcements. In contrast to previous studies, which focused exclusively on whether or not IT investment announcements led to an abnormal return in the market, this study investi...

Abstract I show that cash distributions through mergers, dividend payments, and stock buybacks are, in principle, similar to investor fund flows generating demand for investable assets. Abnormal returns on certain assets can be forecasted because delegated investors predictably reinvest toward holdings. Novel measures of stock-level constructed using proportional reinvestments by mutual funds p...

We find large overnight returns with no abnormal variance before nonfarm payrolls, ISM, and GDP announcements, similar to the pre-FOMC returns. To explain this common pattern, we propose a two-risk model uncertainty about magnitude of impending news’ market impact as an additional risk, link pre-announcement return directly accumulation heightened its later resolution prior announcement. empiri...