We investigate a link between the performance of several security indexes in broad investment categories and investor attention as measured by Google search probability. We find that there is a significant short-term change in index returns following an increase in attention. Conversely, a shock...

We show that in the presence of non-zero pricing errors, the Fama–MacBeth (FM) cross-sectional regression test is very likely to either reject the Capital Asset Pricing Model (CAPM) when it (almost) holds or accept the model when it grossly fails. We investigate the case when pricing errors...

We investigate the effects of several firm characteristics utilized in the recent literature to account for puzzling dynamics of idiosyncratic risk. Our results suggest that these characteristics (book-to-market, leverage, size, institutional ownership, earnings-per-share, and turnover) are able...