The anomalies literature in capital markets research in finance and accounting is based (almost) exclusively on average realized returns. In contrast, we construct accountingbased expected returns for dollar-neutral long-short trading strategies formed on a wide array of anomaly variables, including book to market, size, composite issuance, net stock issues, abnormal investment, asset growth, i...

This paper provides empirical evidence on whether the earnings fixation hypothesis can explain the accrual anomaly originally documented in Sloan (1996). Our analytical model yields the prediction that if investors fixate on reported earnings, the effectiveness of the accrual strategy will increase in the responsiveness of the stock price to earnings and the differential persistence of cash flo...

Whereas the relations derived for price-earnings (P/E) ratios predict a positive relation with future earnings growth and negative relations with interest rates and risk, prior empirical investigations of the determinants of P/E ratios find these links to be weak. One reason commonly offered for this apparent inconsistency is the presence of transitory earnings components in the denominator. We...

Using an extensive set of establishment and individual data, we estimate the extent to which the variance of earnings among establishments increased in 1977-2002 and its contribution to the increased dispersion of US earnings among individuals. We find that more than 70 percent of the increase in the variance of earnings in this period occurred across establishments. More than two thirds of the...

Using a proprietary database of institutional investors’ stock transactions, we examine whether transient institutions overreact to the announcement of small negative earnings surprises defined as quarterly earnings that fall short of analysts’ consensus forecasts by one cent. Transient institutions’ selling in response to the announcement of small negative earnings surprises is significant and...

This article looks at Social Security covered earnings of wives relative to their own husbands, using interview responses from the 1990 Survey of Income and Program Participation linked to Social Security Administration records of covered earnings. It examines earnings at ages 22-31, 22-41, and 22-51 for birth cohorts of wives born in the 1930's, 1940's and 1950's. More recent cohorts of wives ...

As a result of growing concern over the persistence of earnings differences between men and women, policymakers, researchers, and others have become increasingly interested in obtaining earnings data by sex at the finest level of occupational detail possible. Wide-ranging information of this nature can generally be collected only through a household survey such as the Current Population Survey ...

We investigate how managerial ability affects the intentional distortion of financial statements (earnings management). On the one hand, better managers receive a compensation premium for their perceived ability, and to the extent that earnings management would tarnish their reputations, we expect them to manage earnings less. On the other hand, better managers may be more able to extract rents...

Gender earnings differentials in urban China by region and their changes during the first decade of economic reform are examined. It is found that the female–male earnings ratio increased during the early stage of reform. The male earnings premium, overall, showed an increasing trend in the later stage of reform. Decomposition of the gender earnings differential reveals that a relatively lower ...

The Roy model has more precise predictions about the self-selection of migrants than previously realized. The conditions shown to result in positive or negative selection in terms of expected earnings also imply a stochastic dominance relationship between the earnings distributions of migrants and non-migrants. We test these predictions using the Danish full population administrative data. We f...