We propose an approach to construct text-based time-series indices in an optimal way -typically, indices that maximize the contemporaneous relation or the pr...

We reassess Boehmer et al. (2021, BJZZ)'s seminal work on the predictive power of retail order imbalance (ROI) for future stock returns. First, we replicate ...

We show that the two-stage minimum description length (MDL) criterion widely used to estimate linear change-point (CP) models corresponds to the marginal lik...

We study the relation between the promotion of a cryptocurrency on Twitter and its return dynamics around pump-and-dump events. By analyzing abnormal retur...

A growing body of recent literature analyzes the reaction of Robinhood (RH) investors to price movements at the daily frequency. As these investors tend to b...

We explore the factor exposure heterogeneity in green and brown stocks using the peer-exposure ratio. By creating peer groups of S&P 500 index firms over 201...

We study how the financial literature has evolved in scale, research team composition, and article topicality across 32 finance-focused academic journals fro...

We explore the realized alpha-performance heterogeneity in green and brown stocks' universes using the peer performance ratios of Ardia and Boudt(2018). Focu...

We propose a tone-based event study to reveal the aggregate abnormal tone dynamics in media articles around earnings announcements. We test whether they co...

We empirically test the prediction of Pastor, stambaugh, and Taylor (2020) that green firms outperform brown firms when concerns about climate change increas...