We quantify the effect of a significant technological innovation, shale oil development, on asset prices. Using stock returns on major news announcement days allows us to link aggregate stock price fluctuations to shale technology innovations. We exploit cross-sectional variation in industry...

We quantify the effect of a significant technological innovation, shale oil development, on asset prices. Using stock returns on major news announcement days allows us to link aggregate stock price fluctuations to shale technology innovations. We exploit cross-sectional variation in industry...

This paper studies the pricing of the risk associated with the location of the assets. The location risk is measured by ‘local beta’, which combines the systematic risk of local property markets and the property allocation strategy of real estate firms. The empirical results confirm a higher...

We investigate the marginal predictive content of small versus large jump variation, when forecasting one-week-ahead cross-sectional equity returns, building on Bollerslev et al. (2020). We find that sorting on signed small jump variation leads to greater value-weighted return differentials...