Investor sentiment indicates how far an asset value deviates from its economic
fundamentals. In this article, we review various measures of investor sentiment based on …

We survey the nascent literature on machine learning in the study of financial markets. We
highlight the best examples of what this line of research has to offer and recommend …

Purpose The purpose of this paper is to review the insights provided by behavioral finance
studies conducted in the last decade (2006-2015) examining behavioral variables in …

In this paper, we use two prevailing shrinkage methods, the lasso and elastic net, to predict
oil price returns with a large set of predictors. The out-of-sample results indicate that the …

This research investigates the impact of climate challenges on financial markets by
introducing an innovative approach to measure climate risk, specifically the aggregate …

This paper aims to explore the impact of war attention on stock volatility predictability by
constructing a new war attention index and employing an extended GARCH-MIDAS-ES …

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 …

We show that short interest is arguably the strongest known predictor of aggregate stock
returns. It outperforms a host of popular return predictors both in and out of sample, with …

We propose an investor attention index based on proxies in the literature and find that it
predicts the stock market risk premium significantly, both in sample and out of sample …

The goal of this paper is to show that crude oil volatility is predictive of stock volatility in the
short-term from both in-sample and out-of-sample perspectives. The revealed predictability …