We analyze the daily predictability of investor sentiment across four major asset classes and compare sentiment measures based on news and social media with those based on trade information. For the majority of assets, trade-based sentiment measures outperform their text-based equivalents for...

We employ a semi-supervised topic model to extract the rare disaster risks and economic narratives from 7,000,000 NYT articles over 160 years. Our approach addresses the look-ahead bias and changes in semantics. War positively predicts market return in- and out-of-sample, while the economic...

Using a semi-supervised topic model on 7,000,000 New York Times articles spanning 160 years, we test whether topics of media discourse predict future stock and bond market returns to test rational and behavioral hypotheses about market valuation of disaster risk. Focusing on media discourse...

We examine insider trading surrounding takeover rumors in a sample of 1,642 publicly traded U.S. firms. Using difference-in-differences regressions, we find that insider net purchases increase within the year prior to the first publication of a takeover rumor, particularly when rumor articles...

Hardly anything is known about how bond market participants react to insider stock trades. Our study attempts to fill this gap by analyzing the bond market reaction around insider transactions in U.S. firms during the period from 2002 to 2009. Our dataset covers 993 stock purchases and 6,562...