Textual analysis, implemented at scale, has become an important addition to the methodological toolbox of finance. In this paper, given the proliferation of papers now using this method, we first provide an updated review of the literature while focusing on a few broad topics—social media,...

We construct a sentiment index with the incorporation of representative proxies in the Taiwan Stock Market and investigate the application of a cross-section of stock returns. The major contribution of the study is that the huge Chinese financial news related to each listed stock is collected...

We first develop a theory-based metric to judge the popularity of value-weighting in a stock market. We then use our metric to document that although value-weighting is less popular in emerging markets than in developed markets, its popularity is increasing almost everywhere. Finally, as we have...

We propose a portfolio optimization approach to identifying private information. In our model, investors are exposed to liquidity and private information shocks and optimize their trading across stocks taking into account price impact (Kyle's Lambda). We obtain a very simple expression for a...

Using close to 800,000 transactions by 66,000 households in the United States and close to 2,000,000 transactions by 303,000 households in Finland, this paper shows that individual investors with longer holding periods choose to hold less liquid stocks in their portfolios, consistent with Amihud...

In this paper, I develop a model in which risk-averse investors possess private information regarding both a stock's expected payoff and its risk. These investors trade in the stock and a derivative whose payoff is driven by the stock's risk. In equilibrium, the derivative is used to speculate...

We measure the profitability of an investment in voting stocks, considering the prices of both voting and non-voting stocks. As Niehoff (2016) showed, non-voting stocks' prices reflect new information on average faster than the prices of the corresponding voting stocks. To exploit this...

Rational expectation equilibrium (REE) models were considerably developed over the past 40 years. However, still relatively little has been done on their empirical applications, private signals being unobservable. We propose a new methodology, theoretically premised, to reconstitute these...

This study documents the prominent role of idiosyncratic risk in impeding arbitrage activities with regard to a new value-to-price anomaly. Adopting the theoretical foundation and empirical specification of Hwang and Sohn's (2010) real-option-based valuation model, we measure the intrinsic value...

Style investing has become part of the investing nomenclature for equity markets. To date, despite the massive size of fixed income markets, little research has examined the efficacy of style-based investing in fixed income. In this paper we summarize a common style based framework for capturing...