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Institutional Investors, Analysts' Recommendations, Annual Reports, Textual Analysis and Stock Returns: Evidence from SEC EDGAR 10-K and 13-F Forms

, 2015
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The annual report tone and return Comovement—Evidence from China's stock market

International Review of Financial Analysis, 2023
Chao Liu, FeiFei Wang, Wenjun Xue
exaly   +2 more sources

Seeing is Believing: Annual Report 'Graphicity' and Stock Returns Predictability

SSRN Electronic Journal, 2020
Using a large hand-collected dataset, we provide novel evidence on the additional information embedded in the designs and graphs of financial reports. We find that firms that add graphic financial reports experience a positive 2.7% abnormal returns in the following 3 to 6 months.
Xiaohu Deng, Lei Gao, Bo Hu, Guofu Zhou
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The association of aggregate and disaggregated earnings with annual stock returns

Accounting & Finance, 1997
AbstractThis study compares aggregate earnings and disaggregated earnings (cash from operations, current accruals and non‐current accruals) in terms of their associations with stock returns. A cross‐sectional approach is adopted using Australian data over a six‐year period.
Y.K. Chia, R. Czernkowski, J. Loftus
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A Comparison of Annual Common Stock Returns: 1871-1925 with 1926-85

The Journal of Business, 1987
Lawrence Fisher and James H. Lorie, and Roger G. Ibbotson and Rex A. Sinquefield have documented annual returns on common stocks since 1926. Prior to 1926, due to the work of the Cowles Commission, annual returns can be extended back to January 1871.
Wilson, Jack W, Jones, Charles P
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Clustering of shareholder annual meetings: a ‘new anomaly’ in stock returns

Applied Financial Economics, 2014
The study documents the clustering of annual general meetings (AGMs) in the months of March, April and May and shows that this clustering of AGMs in dates is positively related to average monthly stock returns in these months. The study not only documents a ‘new anomaly’ in the stock market in the recent two decades, but also provides explanations why ...
Weishen Wang, Frank Hefner
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Annual Report Opacity and Stock Returns: Evidence from China

SSRN Electronic Journal, 2016
This study shows the influence of annual report opacity on stock returns. To measure annual report opacity, we modify the Gunning Fog index in the computational linguistics literature by including the graphical information contained in the report. We find that the opacity measure predicts both lower future returns and more negative skewness for Chinese
Minggen Gong, Yifei Lu, Jing Yao
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Chaotic Test and Non-Linearity of Abnormal Stock Returns: Selecting an Optimal Chaos Model in Explaining Abnormal Stock Returns around the Release Date of Annual Financial Statements

2021
For many investors, it is important to predict the future trend of abnormal stock returns. Thus, in this research, the abnormal stock returns of the listed companies in Tehran Stock Exchange were tested since 2008- 2017 using three hypotheses. The first and second hypotheses examined the non-linearity and non-randomness of the abnormal stock returns ...
Enayayi Taebi, Reyhaneh, Mehrazeen, Alireza, Jabbari Nooqabi, Mehdi   +2 more
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Behavior of earnings, stock returns, accruals, and analysts' forecasts following negative annual earnings

Review of Financial Economics, 1996
AbstractThis study documents the behavior of earnings, abnormal stock returns, analysts' earnings forecasts, and accounting accruals following years in which companies report negative annual earnings. Changes in accounting accruals (earnings minus operating cash flows) frequently are used as proxies for managerial manipulation of earnings numbers.
Michael Ettredge, Richard Toolson, Steve Hall, Chongkil Na   +3 more
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Capital Investment, Earnings, and Annual Stock Returns: Causality Relationships In China

Eurasian Economic Review, 2011
The Granger-causality effects between earnings, cash flow, and capital investment as well as on subsequent annual stock returns are examined for China in an international framework. Overall, there is a Granger causality relationship from earnings to capital investment. Furthermore, there is strong causality in the reverse direction as well.
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