We investigate the response of shareholders to Environmental, Social, and Governance-related reputational risk (ESG-risk), focusing exclusively on the impact of social media. Using a dataset of 114 million tweets about firms listed on the S&P100 index between 2016 and 2022, we extract...

In this paper, we argue that certain recent findings concerning the predictive ability of tail risk exposure, defined as the extremal dependence between asset returns and market returns, are likely spurious. We argue that these results are related to biases in the estimation procedure of the...

In this paper, we estimate an agent-based model (ABM) to investigate herding behaviors in the formation of investor sentiment. We formalize a simple opinion dynamics model in a social network framework and rely on a numerical method to estimate its parameters. We derive a sentiment proxy from...