I document a systematic bias in the assessment of comovement: individuals assess a moderate relationship between two variables regardless of the actual strength of the relationship between them. In a survey of finance professionals, participant-assessed betas of different financial and...

This paper shows that productivity shocks to the 100 largest U.S. firms (by revenue) contain systematic information. Specifically, shocks to the top-100 firms predict future shocks to geographically close firms. Intra-sector trade links are an important economic channel for spillover effects....

Using computational linguistic techniques, we build an investor sentiment indicator extracted from the content of the electronic French press specialized in Financial and economic news for companies of the CAC40 index. We test the relationship between this indicator and abnormal returns...

There has been growing literature on trading volume and overconfidence bias in the stock market. The common phenomenon in global financial markets is high trading volume and the most prominent explanation for this excess trading is overconfidence bias. This paper attempts to examine whether...

We employ a dataset of Europe-wide-sold and US-sold equity mutual funds to investigate how flows of assets relate to past performance in the past decade and a half. We show that the flow-performance relationship changes in time and differs in Europe and US. We find that the typical for the US,...

We compare several representative sophisticated model averaging and variable selection techniques of forecasting stock returns. When estimated traditionally, our results confirm that the simple combination of individual predictors is superior. However, sophisticated models improve dramatically...

Among other macroeconomic indicators, the monthly release of U.S. unemployment rate figures in the Employment Situation report by the U.S. Bureau of Labour Statistics gets a lot of media attention and strongly affects the stock markets. I investigate whether a profitable investment strategy can...

This paper examines whether the well-known Monday Effect found in stock andTreasury Bills markets also occurs in the Bitcoin market, which differs markedlyfrom other markets due to its continuous trading. The findings of the paper suggestthat the Bitcoin market is not efficient and provides the...

Higher bank credit growth implies that excess returns of bank stocks over the next one year are lower by nearly 3%. Credit growth tracks bank stock returns over the business cycle and explains nearly 14% of the variation in bank stock returns over a 1-year horizon. I argue that the predictive...