Supplementary references for Green, Hand & Zhang (2012) This supplementary bibliography reports the references to the papers from which Green, Hand and Zhang (2012) constructed their approximation of the population of RPS signals discovered and publicly reported during the years 1970-2010.

Abarbanell, J.S., and B.J. Bushee, 1998. Abnormal returns to a fundamental analysis strategy. The Accounting Review 73, 1, 19-45. Aboody, D., Lehavy, R., and B. Trueman, 2010. Limited attention and the earnings announcement returns of past stock market winners. Review of Accounting Studies 15, 317344. Ackert, L.,and G. Athanassakos., 1997. Prior uncertainty, analyst bias, and subsequent abnormal returns. Journal of Financial Research 20, 2, 263-273. Affleck-Graves, J., and R.E. Miller, 2003. The information content of calls of debt: Evidence from long-run stock returns. Journal of Financial Research 26, 4, 421-447. Allen, E., Larson, C., and R. G. Sloan, 2011. Accrual reversals, earnings and stock returns. Working paper, University of California, Berkeley. Alwathainani, A.M., 2010. Does bad economic news play a greater role in shaping investors’ expectations than good economics news? Working paper, York University. Amaya, D., and A. Vasquez, 2010. Skewness from high-frequency data predicts the crosssection of stock returns. Working paper, HEC Montreal. Amihud, Y., 2002. Illiquidity and stock returns: Cross-section and time-series effects. Journal of Financial Markets 5, 31-56. Amihud, Y., and H. Mendelson, 1989. The effects of beta, bid-ask spread, residual risk, and size on stock returns. Journal of Finance XLIV, 2, 479-486. Amir, E., Kama, I., and J. Livnat, 2010. Conditional versus unconditional persistence of RNOA components: implications for valuation. Review of Accounting Studies 16, 2, 302-327. An, J., Bhojraj, S., and D. Ng, 2010. Warranted multiples and future returns. Journal of Accounting Auditing & Finance 25, 2, 142-169. Anderson, J., and G. Smith, 2006. A great company can be a great investment. Financial Analysts Journal 62, 4, 86-93. Anderson, K., and Brooks, C., 2007. Extreme returns from extreme value stocks. Journal of Investing 16, 1, 69-81. Ang, A., Bali, T.G., and Cakici, N., 2012. The joint cross section of stocks and options. Working paper, Columbia University. Ang, A., Chen, J., and Y. Xing, 2006. Downside risk. Review of Financial Studies 19, 11911239. Ang, A., Hodrick, R.J., Xing, Y., and Zhang, X., 2006. The cross-section of volatility and expected returns. Journal of Finance LXI, 1, 259-299. 1

Ang, A., Hodrick, R.J., Xing, Y., and Zhang, X., 2009. High idiosyncratic volatility and low returns: International and further U.S. evidence. Journal of Financial Economics 91, 1, 1-23. Anton, M., and C. Polk, 2010. Connected stocks. Working paper, London School of Economics. Antoniou, C., Doukas, J.A., and A. Subrahmanyam, 2010. Sentiment and momentum. Working paper, Durham University. Arbel, A., Carvell, S., and P. Strebel, 1983. Giraffes, institutions and neglected firms. Financial Analysts Journal May-June, 57-63. Arora, A., Capp, L., and G. Smith, 2008. The real dogs of the Dow. Journal of Wealth Management, Spring, 64-72. Armstrong, C., Banerjee, S., and C. Corona, 2010. Information quality and the cross-section of expected returns. Working paper, University of Pennsylvania. Asness, C.S., 1997. The interaction of value and momentum strategies. Financial Analysts Journal March-April, 29-36. Asness, C.S., Porter, R.B., and R.L. Stevens, 2000. Predicting stock returns using industryrelative firm characteristics. Working paper, AQR Capital Management. Atilgan, Y., 2009. Deviations from put-call parity and earnings announcement returns. Working paper, Baruch College. Baik, B., and T. Ahn, 2007. Changes in order backlog and future returns. Seoul Journal of Business, 13, 2. Baker, M., Bradley, B., and J. Wurgler, 2011. Benchmarks as limits to arbitrage: Understanding the low volatility anomaly. Financial Analysts Journal 67, 1, 40-54. Baker, M., and Wurgler, J., 2007. Investor sentiment in the stock market. Journal of Economic Perspectives 21, 2, 129-151. Balachandran, S. and P. Mohanram, 2012. Using residual income to refine the relationship between earnings growth and stock returns. Review of Accounting Studies 17, 1, 134-165. Balakrishnan, K., Bartov, E., and L. Faurel, 2010. Profit loss/profit announcement drift. Journal of Accounting & Economics 50, 20-41. Bali, T.G., and N. Cakici, 2008. Idiosyncratic volatility and the cross section of expected returns. Journal of Financial & Quantitative Analysis 43, 1, 29-58. Bali, T.G., and A. Hovakimian, 2009. Volatility spreads and expected stock returns. Management Science 55, 11, 1797-1812. Bali, T.G., and S. Murray, 2012. Implied risk-neutral skewness and the cross-section of option returns. Working paper, Baruch College. Bali, T.G., Cakici, N., and R.F. Whitelaw, 2011. Maxing out: Stocks as lotteries and the crosssection of expected returns. Journal of Financial Economics 99, 427-446. Bali, T.G., Demirtas, K. O., and A. Hovakimian, 2010. Corporate financing activities and contrarian investment. Review of Finance 14, 543-584. 2

Bali, T.G., Scherbina, A., and Y. Tang, 2011. Unusual news events and the cross-section of stock returns. Working paper, Baruch College. Bandarchuk, P., and J. Hilscher, 2011. Sources of momentum profits: Evidence on the irrelevance of characteristics. Working paper, State Street Global Advisors. Bandyopadhyay, S.P., Huang, A.G. and T. S. Wirjanto, 2010. The accrual volatility anomaly. Working paper, University of Waterloo. Banz, R.W., 1981. The relationship between return and market value of common stocks. Journal of Financial Economics 9, 3-18. Barber, B., Lehavy, R., McNichols, M., and B. Trueman, 2001. Can investors profit from the prophets? Security analyst recommendations and stock returns. Journal of Finance LVI, 2, 531-563. Barth, M.E., and A. P. Hutton, 2004. Analyst earnings forecast revisions and the pricing of accruals. Review of Accounting Studies 9, 59-96. Bartov, E., Radhakrishnan, S., and I. Krinsky, 2000. Investor sophistication and patterns in stock returns after earnings announcements. The Accounting Review 75, 1, 43-63. Basu, S., 1975. The information content of price-earnings ratios. Financial Management 4, 2, 53-64. Bazdresch, S., Belo, F., and Z. Lin, 2009. Labor hiring, investment and stock return predictability in the cross section. Working paper, University of Minnesota. Bauman, W. S., and R. Dowen, 1988. Growth projections and common stock returns. Financial Analysts Journal, July/August. Beneish, M. D., 1997. Detecting GAAP violation implications for assessing earnings management among firms with extreme financial performance. Journal of Accounting & Public Policy 16, 271-309. Beneish, M.D. and D. C. Nichols, 2009. Identifying overvalued equity. Working paper, Indiana University. Beneish, M.D., Lee, C.M.C., and R. L. Tarpley 2001. Contextual fundamental analysis through the prediction of extreme returns. Review of Accounting Studies 6, 165-189. Berkman, H., Dimitrov, V., Jain, P., Koch, and S. Tice, 2009. Sell on the news: differences of opinion, short-sales constraints, and returns around earnings announcements. Journal of Financial Economics 92, 376-399. Berkman, H. and M. D. McKenzie, 2012. Earnings announcements: good news for institutional investors and short sellers. Financial Review 47, 1, 91-113. Bernard, V. L., and J. K. Thomas, 1989. Post-earnings-announcement drift: delayed price response or risk premium? Journal of Accounting Research 27, 1-36. Bhojraj, S., Hribar, P., Picconi, M. and J. McInnis, 2009. Making sense of cents: an examination of firms that marginally miss or beat analyst forecasts. Journal of Finance LXIV, 5, 23612388.

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Billett, M.R., Flannery, M.J., and J.A. Garfinkel, 2006. Are bank loans special? Evidence on the post-announcement performance of bank borrowers. Journal of Financial & Quantitative Analysis 41, 4, 733-751. Boehme, R.D., Danielsen, B.R., Kumar, P., and S.M. Sorescu, 2009. Idiosyncratic risk and the cross-section of stock returns: Merton (1987) meets Miller (1977). Journal of Financial Markets 12, 438-468. Boehmer, E., Huszar, Z.R., and B.D. Jordan, 2010. The good news in short interest. Journal of Financial Economics 96, 1, 80-97. Bourguignon, F., and M. de Jong, 2006. The importance of being value. Journal of Portfolio Management, Spring, 74-79. Boyer, B., Mitton, T., and K. Vorkink, 2010. Expected idiosyncratic skewness. Review of Financial Studies 23, 1, 169-202. Brandt, M.W., Kishore, R., Santa-Clara, P. and M. Venkatachalam, 2008. Earnings announcements are full of surprises. Working paper, Duke University. Bradshaw, M. T., Richardson, S. A., and R. G. Sloan, 2006. The relation between corporate financing activities, analysts’ forecasts and stock returns. Journal of Accounting & Economics 42, 53-85. Brown, D.P. and B. Rowe, 2007. The productivity premium in equity returns. Working paper, University of Wisconsin, Madison. Callen, J.L, and M.R. Lyle, 2011. The term structure of implied costs of equity capital. Working paper, University of Toronto. Callen, J.L., Khan, M., and H. Lu, 2011. Accounting quality, stock price delay and future stock returns. Contemporary Accounting Research (forthcoming). Campbell, J.Y., Hilscher, J., and J. Szilagyi, 2008. In search of distress risk. Journal of Finance LXIII, 6, 2899-2939. Cao, S. and G. Narayanamoorthy, 2009. Earnings volatility and the post-earnings announcement drift. Working paper, University of Illinois at Urbana-Champaign. Cao, X., and Y. Xu, 2010. Long-run idiosyncratic volatilities and cross-sectional stock returns. Working paper, University of Texas at Dallas. Caskey, J., Hughes, J., and J. Liu, 2008. Leverage, excess leverage, and future returns. Review of Accounting Studies 17, 2, 443-471. Cen, L., Wie, K.C. and J. Zhang, 2007. Forecasted earnings per share and the cross section of expected stock returns. Working paper, Hong Kong University of Science & Technology. Cen, L., Hilary, G., Wei, K. C., and J. Zhang 2010. The role of anchoring bias in the equity market. Working paper, Hong Kong University of Science & Technology. Chan, L., Karceski, J., Lakonishok, J. and T. Sougiannis, 2008. Balance sheet growth and the predictability of stock returns. Working paper, University of Illinois at Urbana-Champaign. Chandrashekar, S. and R. K. S. Rao, 2009. The productivity of corporate cash holdings and the cross-section of expected stock returns. Working paper, University of Texas at Austin. 4

Chang, B.Y., Christoffersen, P., and K. Jacobs, 2009. Market skewness risk and the crosssection of stock returns. Working paper, McGill University. Charest, G., 1978. Dividend information, stock returns, and market efficiency – II. Journal of Financial Economics 6, 297-330. Chemmanur, T., and A. Yan, 2009. Advertising, attention, and stock returns. Working paper, Boston College. Chen, C., 2009. The variation of earnings persistence and post-earnings-announcement return reaction to past earnings. Working paper, University of Waterloo. Chen, H., Chen, S., Hsin, C. and C. Lee, 2010. Price, earnings, and revenue momentum strategies. Working paper, Rutgers University. Chen, H., Kacperczyk, M., and H. Ortiz-Molina, 2011. Labor unions, operating flexibility, and the cost of equity. Journal of Financial & Quantitative Analysis 46, 1, 25-58. Chen, J., Hong, H., and J.C. Stein, 2002. Breadth of ownership and stock returns. Journal of Financial Economics 66, 171-205. Chen, J. Z. and P.B. Shane, 2010. Estimating abnormal changes in cash with earnings persistence and mispricing implications. Working paper, University of Colorado at Boulder. Chen, L. Novy-Marx, R. and L. Zhang, 2010. An alternative three-factor model. Working paper, Cheung Kong Graduate School of Business. Chopra, N., Lakonishok, J., and J.R. Ritter, 1992. Measuring abnormal performance. Journal of Financial Economics 31, 235-268. Chordia, T., Subrahmanyam, A., and V.R. Anshuman, 2001. Trading activity and expected stock returns. Journal of Financial Economics 59, 3-32. Cohen, L, and A. Frazzini, 2008. Economic links and predictable returns. Journal of Finance LXIII, 4, 1977-2011. Cohen, L. and D. Lou, 2010. Complicated firms. Journal of Financial Economics 104, 2, 383400.. Cohen, L., Diether, K., and C. Malloy, 2011. Misvaluing innovation. Working paper, Harvard Business School. Cohen, L., Malloy, C., and L. Pomorski, 2010. Decoding inside information. Working paper, Harvard Business School. Cohen, R. and C.K. Polk, 1998. The impact of industry factors in asset-pricing tests. Working paper, Harvard Business school. Cohen, R., Polk, C., and B. Silli, 2009. Best ideas. Working paper, Harvard Business School. Conrad, J., Dittmar, R.F., and E. Ghysels, 2009. Ex ante skewness and expected stock returns. Working paper, UNC Chapel Hill. Cooper, M.J, 1999. Filter rules based on price and volume in individual security overreaction. Review of Financial Studies 12, 4, 901-935.

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Cooper, M. J., Gulen, H., and M. J. Schill, 2008. Asset growth and the cross-section of stock returns. Journal of Finance LXIII, 4, 1609-1651. Cooper, M.J., Gutierrez, R.C., and A. Hameed, 2004. Market states and momentum. Journal of Finance 59, 3, 1345-1365. Cremers, M., and A. Pareek, 2009. Institutional investors’ investment durations and stock return anomalies: Momentum, reversal, accruals, share issuance and R&D increases. Working paper, Yale University. Cremers, M., and D. Weinbaum, 2010. Deviations from put-call parity and stock return predictability. Journal of Financial & Quantitative Analysis 45, 2, 335-467. Cusatis, P.J., Miles, J.A., and J.R. Woolridge, 1993. Restructuring through spinoffs. Journal of Financial Economics 33, 293-311. Da, Z., and E. Schaumberg, 2008. Relative valuation and analyst target price forecasts. Working paper, University of Notre Dame. Da, Z. and M. Warachka, 2009. Long-term earnings growth forecasts, limited attention, and return predictability. Journal of Financial Markets 14, 1, 161-192. Da, Z., Engelberg, J., and P. Gao, 2010. In search of earnings predictability. Working paper, University of Notre Dame. Da, Z., Hong, K., and S. Lee, 2010. Where does the investment value of target prices come from? Working paper, University of Notre Dame. Da, Z., Liu, Q., and Schaumberg, 2011. Decomposing short-term return reversal. Working paper, University of Notre Dame. Daines, R., Gow, I.D., and D.F. Larcker, 2010. Rating the ratings: How good are commercial governance ratings? Journal of Financial Economics 98, 3, 439-461. Datar, V.T., Naik, N.Y., and R. Radcliffe, 1998. Liquidity and stock returns: An alternative test. Journal of Financial Markets 1, 203-219. De Bondt, W.F.M., and R. Thaler, 1984. Does the stock market overreact? Journal of Finance 40, 3, 793-805. De Groot, W., Huij, J. and W. Zhou, 2010. Another look at trading costs and short-term reversal profits. Journal of Banking & Finance 36, 2, 371-382. Dechow, P. M. and R. G. Sloan, 1997. Returns to contrarian investment strategies: tests of naïve expectations hypotheses. Journal of Financial Economics 43, 3-27. Dechow, P. M., Richardson, S. A. and R. G. Sloan, 2008. The persistence and pricing of the cash component of earnings. Journal of Accounting Research 46, 3, 537-566. DeFond, M.L., Konchitchki, Y., McMullin, J.L., and D.E. O’Leary, 2010. Accounting and stock market implications of firms with superior knowledge management. Working paper, University of Southern California. Delisle, R.J., Doran, J.S., and D.R. Peterson, 2009. Asymmetric volatility and the cross-section of returns: Is implied market volatility a risk factor? Journal of Futures Markets 31, 1, 3454. 6

Dellavigna, S and J. M. Pollet, 2008. Investor inattention and Friday earnings announcements. Journal of Finance 64, 2, 709-749. Diavatopoulos, D., Doran, J.S., Fodor, A., and D.R. Peterson, 2008. The information content of implied skewness and kurtosis changes prior to earnings announcements for stock and option returns. Journal of Banking & Finance 36, 3, 786-802. Diether, K.B., Lee, K-H., and I.M. Werner, 2009. Short-sale strategies and return predictability. Review of Financial Studies 22, 2, 575-607. Diether, K. B., Malloy, C. J. and A. Scherbina, 2002. Differences of opinion and the cross section of stock returns. Journal of Finance LVII, 5, 2113-2141. Dichev, I. D. and J. D. Piotroski, 2001. The long-run stock returns following bond ratings changes. Journal of Finance LVI, 1, 173-203. Dichev, I. D., 1998. Is the risk of bankruptcy a systematic risk? Journal of Finance LIII, 3, 1131-1147. Donangelo, A., 2010. Labor mobility and the cross-section of expected returns. Working paper, University of California, Berkeley. Doran, J.S., Fodor, A., and D.R. Peterson, 2007. Insiders versus outsiders with employee stock options: Who knows best about future firm risk and implications for stock returns. WP. Doyle, J.T., Lundholm, R.J., and M.T. Soliman, 2003. Review of Accounting Studies 8, 145-174. Doyle, J.T., Lundholm, R.J., and M.T. Soliman, 2006. Journal of Accounting Research 44, 5, 849-887. Drake, M.S., Rees, L., and E.P. Swanson, 2011. Should investors follow the prophets or the bears? Evidence on the use of public information by analysts and short-sellers. The Accounting Review 86, 1, 101-130. Easley, D., Hvidkjaer, S., and M. O’Hara, 2010. Factoring information into returns. Journal of Financial & Quantitative Analysis 45, 2, 293-309. Eberhardt, A.C., Maxwell, W.F., and A.R. Siddique, 2004. An examination of long-term abnormal stock returns and operating performance following R&D increases. Journal of Finance LIX, 2, 623-650. Edmans, A., 2011. Does the stock market fully value intangibles? Employee satisfaction and equity prices. Journal of Financial Economics 101, 3, 621-640. Eisfeldt, A. L. and D. Papanikolaou, 2011. Organizational capital and the cross-section of expected returns. Working paper, UCLA. Elgers, P.T., Lo, M.H., and R.J. Pfeiffer, Jr., 2001. Delayed security price adjustments to financial analysts’ forecasts of annual earnings. The Accounting Review 76, 4, 613-632. Engleberg, J., 2008. Costly information processing: Evidence from earnings announcements. Working paper, UNC Chapel Hill. Fabozzi, F.J., Ma, K.C., and Oliphant, B.J., 2008. Sin stock returns. Financial Analysts Journal, Fall, 82-94.

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