We analyze how changes in government policy affect stock prices. Our general equilibrium
model features uncertainty about government policy and a government whose decisions …

We use daily Internet search volume from millions of households to reveal market-level
sentiment. By aggregating the volume of queries related to household concerns …

The expansion of investment strategies and capital markets is altering the significance and
empirical rationality of the Efficient Market Hypothesis. The vitality of capital markets is …

In an effort to increase transparency, the chair of the Federal Reserve now holds a press
conference (PC) following some, but not all, Federal Open Market Committee (FOMC) …

We study whether firm and macroeconomic announcements that convey systematic
information generate a return premium for firms that experience information spillovers. We …

We analyze the effects of scheduled macroeconomic news on intraday and daily market
sentiment by comparing sentiment on news announcement dates with that on non …

We retrieve news stories and earnings announcements of the S&P 100 constituents from two
professional news providers, along with ten macroeconomic indicators. We also gather data …

Utilizing real-time newswire data, together with a robustly estimated intraday stochastic
discount factor (SDF), we identify and quantify the economic news that is priced. News …

Limits to arbitrage imply that market-wide investor sentiment should be a priced factor in the
US equity market. While previous studies (Baker and Wurgler in J Financ 61: 1645–1680 …

We contribute to the growing debate on the relation between macroeconomic risk and stock
price momentum. Not only is momentum seasonal, so is its net factor exposure. We show …