My dissertation is motivated by the limited number of multivariate macro-finance asset pricing models which allow for (multiple threshold) regime shifts. Indeed, after more than 35 years of research on asset pricing, one of the central unresolved problems in the financial literature is the...

We analyze the impact of sentiment and attention variables on volatility by using a novel and extensive dataset that combines social media, news articles, information consumption, and search engine data. Applying a state-of-the-art sentiment classification technique, we investigate the question...

We empirically investigate how retail and institutional investor attention is related to the way stock markets process information. With a focus on 360 US stocks in the S&P 500 universe, our results show that higher retail investors' attention around news releases increases the post-announcement...