This paper examines whether the inclusion of oil price shocks of different origin as exogenous variables in a wide set of GARCH-X models improves the accuracy of their volatility forecasts for spot and 1-year time-charter tanker freight rates. Kilian's (2009) oil price shocks of different origin...

We investigate the causal impacts of air pollution on analyst forecast accuracy around earnings announcements. Using the air quality index in analyst workplaces, we provide direct evidence of the following. First, air pollution significantly reduces analysts' earnings forecast accuracy in...

We study the effect of the predictability of order imbalance on market quality. We measure the degree of predictability by using the predictive likelihood from a dynamic linear model where the dependent variable is the day-ahead order imbalance. Empirically, we show that increasing order...

We apply state-of-the-art Bayesian machine learning to test whether we can extract valuable information from analysts' recommendations of stock performance. We use a probabilistic model for independent Bayesian classifier combination that has been successfully applied in both the physical and...

We explore the dimensionality of stock returns in North America, Europe, Japan, Pacific, and Emerging Markets on the basis of 240 cross-sectional predictors. Our approach allows us to identify those predictors that are most consistently related to nonmicro-cap stock returns (i.e., independent of...

We provide a new monthly cross-sectional measure of stock market tail risk, defined as the average of the daily cross-sectional tail risk, rather than the tail risk of the pooled daily returns within a month. The former better captures monthly tail risk rather than merely the tail risk on...

The consumption-based models have a lack of predictive power for explaining variability of stock returns. This paper examines two well-known models, Campbell and Cochrane (1999)'s habit model and Bansal and Yaron (2004)'s long-run risks model, to see whether they produce a significant power of...

We review the literature on recurring firm events and predictable returns. Many common firm events recur on a predictable basis, such as earnings and dividends, among others. These events tend to be associated with large positive returns in the period when those events are predicted to occur...

The trading app Robinhood maintains a list of the 100 stocks most widely held by its users. Using a novel dataset of stock popularity with Robinhood user, I focus on new securities that enter the list. I document the strong effect that salience of new Top 100 listing events has on the attention...

Regulator-required public disclosures of net short positions do not provide a profitable investment signal for UK stocks. While long-short (zero initial outlay) portfolios based on this signal usually make a profit on average, it is rarely statistically significant in either gross or...