Research

Momentum

• Chan, L., Jegadeesh, C., Lakonishok, J., 1996. Momentum Strategies, Journal of Finance 51, 1681–1713.
• Debondt, W., Thaler, R., 1987. Further evidence of investor over-reaction and stock market seasonality. Journal of Finance 42, 557-582
  

Reversal

• Debondt, W., Thaler, R., 1985. Does the stock market overreact? Journal of Finance 40, 793-805

Value

• Separating winners from losers with financial reporting information

• Lev, B., and Thiagarajan, S.R., 1993. Fundamental information analysis, Journal of Accounting Research 31, 190 - 215.
• Piotroski, J D., 2000. Value investing: the use of historical financial statement information to separate winners from losers.
  

PEAD

• Jegadeesh, N., Livnat, J., 2006. Post-earnings-announcement drift: the role of revenue surprises. Financial Analysts Journal, Vol. 62, No. 2, 22-34.
• Bernard, V., Thomas, J., 1989. Post-earnings-announcement drift: delayed price response or risk premium? Journal of Accounting Research 27, 1-48.
• Abarbanell, J., Bernard, V., 1992. The tests of analysts’ over-reaction/under-reaction to earnings information for anomalous stock price behavior. Journal of Finance 47, 1181-1206.
• Bhushan, R., 1994. An informational efficiency perspective on the post-earnings announcement drift. Journal of Accounting and Economics 18, 45–65.
• Livnat, J., 2003. Differential persistence of extremely negative and positive earnings surprises: implications for the post-earnings-announcement drift.” Working paper, New York University.
• Livnat, J., Mendenhall, R., 2006. Comparing the post–earnings announcement drift for surprises calculated from analyst and time series forecasts. Journal of accounting research 44, 177-205
• Mikhail, M., Walther, B., Willis, R., 2003. The effects of experience on security analyst under-reaction. Journal of Accounting and Economics 35, 101-116.
• Yan, Z., Zhao, Y., 2006. A New Measure of Earnings Surprises and Post Earnings Announcement Drift, Brandeis University wp
  

Management Impact

Short Interest

Analyst Estimates

Analyst Recommendations

Insider Trading

Earnings Quality


CAR

• Brandt, M., Kishore, R., Santa-Clara, P., Venkatachalam, M. 2006. Earnings announcements are full of surprises. Working paper. Duke University.

Information Uncertainty

• Francis, J., Lafond, R., Olsson, P., Schipper, K., 2004. Accounting anomalies and information uncertainty. Working paper, Duke University.