We find that an increase in the ``unusualness'' of news with negative sentiment predicts an increase in stock market volatility. Similarly, unusual positive news forecasts lower volatility. Our analysis is based on more than 360,000 articles on 50 large financial companies, published in...

We analyze methods for selecting topics in news articles to explain stock returns. We find, through empirical and theoretical results, that supervised Latent Dirichlet Allocation (sLDA) implemented through Gibbs sampling in a stochastic EM algorithm will often overfit returns to the detriment of...

We develop a model of investor information choices and asset prices where the availability of information about fundamentals is time-varying. A competitive research sector produces more information when more investors are willing to pay for that research. This feedback, from investor willingness...

Contingent capital in the form of debt that converts to equity as a bank approaches financial distress offers a potential solution to the problem of banks that are too big to fail. This paper studies the design of contingent convertible bonds and their incentive effects in a structural model...