Introduction -- Discovery of the bond-stock earnings yield differential model -- Prediction of the 2007-2009 stock market crashes in the US, China and Iceland -- The high price-earnings stock market danger approach of Campbell and Shiller versus the BSEYD model -- Other prediction models for the...

We propose an approach to measuring the state of the economy via textual analysis of business news. From the full text of 800,000 Wall Street Journal articles for 1984-2017, we estimate a topic model that summarizes business news into interpretable topical themes and quantifies the proportion of...

The primary purpose of this paper is to reconcile the previous findings of discount rate endogeneity with the presence of discount rate announcement effects in securities markets. The crux of this reconciliation is the dictinction between "technicral" discount rate changes that are endogenous...

This paper examines the potential influence of changing volatility in stock market prices on the level of stock market prices. It demonstrates that volatility is only weakly serially correlated, implying that shocks to volatility do not persist. These shocks can therefore have only a small...

We examine abnormal stock returns surrounding contemporaneous earnings and dividend announcements in order to determine whether investors evaluate the two announcements in relation to each other.We find that there is a statistically significant interaction effect.The abnormal return...

The purpose of this paper is to present and estimate a model which allows one to use the recently computerized U.S. Patent Office's data base to identify when and where changes in inventive output have occurred. The model assumes a firm which chooses a research strategy to maximize the expected...

Identifying stock connections by shared analyst coverage, we find that a connected-stock (CS) momentum factor generates a monthly alpha of 1.68% (t = 9.67). In spanning regressions, the alphas of industry, geographic, customer, customer/supplier industry, single- to multi-segment, and technology...