This paper studies the impact of public mood, measured by Twitter messages, on the cross-section of U.S. stock returns. Our Twitter-based mood measure is free of endogeneity from financial market influence and distinct from the weather proxy or sentiment indices more commonly used in existing...

We use high-frequency tick data to study stylized facts of the return and volatility dynamics of the nine most liquid cryptocurrencies. Factor structures exist in both returns and volatility, but the explanatory power from the common factor is much stronger for volatility. The factor structures...

We use public news coverage about cybercrime to form a cybercrime news attention measure. This measure is consistent with the criteria for a state variable in ICAPM that is expected to forecasts economic conditions, thereby possessing the ability to predict cross-sectional equity returns. We...