We develop a four-factor model intended to capture size, value, and credit rating transition patterns in excess returns for a panel of predominantly mid- and large-cap entities. Using credit transition matrices and rating histories from 48 US issuers, we provide evidence to support a...

We distill tone from a huge assortment of NASDAQ articles to examine the predictive power of media-expressed tone in single-stock option markets and equity markets. We find that (1) option markets are impacted by media tone; (2) option variables predict stock returns along with tone; (3) option...

We develop a four-factor model intended to capture size, value, and credit rating transition patterns in excess returns for a panel of predominantly mid- and large-cap entities. Using credit transition matrices and rating histories from 48 US issuers, we provide evidence to support a...

This paper provides evidence that the market does not efficiently incorporate expected returns implied by analyst price targets into prices. I use a novel decomposition to extract information and bias components from these analyst-expected returns and develop an asset pricing framework that...

Risk aversion theory is based on individuals' choice among risky assets with expected utility in its foundation. It is about investor behavior (i.e. investor choice), under normal circumstances, towards assets with various levels of risk. A positive and marginally diminishing relationship...

We examine the effect of investor attention spillover on stock return predictability. Using a novel measure, the News Network Triggered Attention index (NNTA), we find that NNTA negatively predicts market returns with a monthly in(out)-of-sample R-square of 5.97% (5.80%). In the cross-section, a...

Volatility is an important component of asset pricing; an increase in volatility on markets can trigger changes in the risk distribution of financial assets. In conventional financial theory, investors are considered to be rational and any changes in relevant risk are assumed to be a result of...

We examine the asset pricing implications of regret theory. In our model, investors mentally represent a stock by the distribution of its past returns and evaluate it following regret theory. Investors feel the sensation of regret if their investment performs worse than an unchosen alternative...

We introduce a novel method for training computer algorithms to measure news sentiment. Our approach leverages human-coded sentiment scores from over 200,000 newspaper articles to teach the computer to select words, word combinations, and their linear weights. In an out-of-sample test, examining...

Ungeheuer and Weber (2021, UW) propose a Comove measure, the fraction of weekly stock returns that are in the same direction as the market, and document that Comove positively predicts cross-sectional stock returns. We show that Comove is strongly negatively correlated with idiosyncratic...