We document using the ZEW panel of German stock market forecasters that weak forecasters tend to be overconfident in the sense that they provide extreme forecasts and their confidence intervals are less likely to contain eventual realizations. Moderate filters based on forecast accuracy over...

We document using the ZEW panel of German stock market forecasters that weak forecasters tend to be overconfident in the sense that they provide extreme forecasts and their confidence intervals are less likely to contain eventual realizations. Moderate filters based on forecast accuracy over...

We document using the ZEW panel of German stock market forecasters that weak forecasters tend to be overconfident in the sense that they provide extreme forecasts and their confidence intervals are less likely to contain eventual realizations. Moderate filters based on forecast accuracy over...

We use unsupervised machine learning techniques of natural language processing to measure the semantic relatedness of firms’ narrative risk disclosures (NRD) in the “risk factor” section of their annual reports. We find strong return predictability among firms with overlapping NRD. This...

Based on 10-K textual analysis, we assemble firm-level offshore sales networks (OSN) and find strong return predictability among industry participants that have overlapping offshore sales activities. This intra-industry return predictability based on offshore sales networks is distinct from that...

In this paper, we use an analyst’s coverage portfolio as the unit of analysis and argue that the linkage among the portfolio firms can provide useful information for analyst forecasts at the portfolio level. In particular, the geographic overlap in the portfolio firms’ global sales network...

This paper finds significant predictability in stock returns across technology-linked firms. Using patent-holding information to identify firms' technological linkage, we show that a long–short equity trading strategy sorted on lagged returns of technology-linked firms yields monthly alphas of...

There have been 128 defaults among U.S. CDS reference entities between 2001 and 2020. Within this sample, the five-year CDS spread is a significant predictor of corporate default in models with equity market covariates and firm attributes. This finding holds for forecast horizons up to 12...