We propose a new investor sentiment index that is aligned with the purpose of predicting the
aggregate stock market. By eliminating a common noise component in sentiment proxies …

Hundreds of papers and factors attempt to explain the cross-section of expected returns.
Given this extensive data mining, it does not make sense to use the usual criteria for …

“Bali, Engle, and Murray have produced a highly accessible introduction to the techniques
and evidence of modern empirical asset pricing. This book should be read and absorbed by …

We use intraday data to compute weekly realized moments for equity returns and study their
time-series and cross-sectional properties. Buying stocks in the lowest realized skewness …

It has been a while since the literature on the pricing kernel puzzle was summarized in
Jackwerth (Option-implied risk-neutral distributions and risk-aversion, The Research …

Relying on 2.2 million articles from forty-five national and local US newspapers between
1989 and 2010, we find that firms particularly covered by the media exhibit, ceteris paribus …

Cryptocurrencies have become increasingly popular since the introduction of bitcoin in
2009. In this paper, we identify factors associated with variations in cryptocurrencies' market …

Which variables provide independent information about the cross-section of future returns?
Portfolio sorts and Fama-MacBeth regressions cannot easily answer this question when the …

We show that a model featuring an average commodity factor, a carry factor, and a
momentum factor is capable of describing the cross-sectional variation of commodity returns …

The last three decades brought mounting evidence regarding the cross-sectional
predictability of country equity returns. The studies not only documented country-level …