We examine how useful the popular Loughran and McDonald (2011, LM) tonal word lists are for extracting information in IPO prospectuses about first-day returns. We find that there is much more information in word use than captured by the LM tonal lists. We show that the connection between LM...

We employ data over 2005-2009 which uniquely identify categories of traders to test whether speculators like hedge funds and swap dealers cause price changes or volatility. We find little evidence that speculators destabilize financial markets. To the contrary, speculative trading activity...

We analyze the role of hedge fund, swap dealer and arbitrageur activity in a Markov regime-switching model between high volatility bear markets and low volatility bull markets for crude oil, corn and Mini-S&P500 index futures. We find that these institutional positions reflect fundamental...