We examine the statistical power of fundamental and behavioural factors with regards to stock returns of the Dow Jones Industrials Index. With a novel sentiment dataset from over 3.6 million Reuters news articles, we find significant correlations between Reuters sentiment and stock returns. We...

The Baker and Wurgler (2006) sentiment index purports to measure irrational investor sentiment, while the University of Michigan Consumer Sentiment Index is designed to largely reflect fundamentals. Removing this fundamental component from the Baker and Wurgler index creates an index of investor...

Average skewness, which is defined as the average of monthly skewness values across firms, performs well at predicting future market returns. This result still holds after controlling for the size or liquidity of the firms or for current business cycle conditions. We also find that average...

Noisy markets need extensive descriptions that are noisy themselves, such as deep regression trees that capture many data-local nonlinear anomalies and that do not require arbitrary weighting schemes like traditional linear multifactor models often do. Simple tools allow extraction of general...

Changes in shipping freight rates predict stock market returns. In today's global world, where economies are linked through international trade, shipping freight rates carry information about economic activity which is reflected in stock returns. Our results are statistically and economically...

We develop a sentiment metric to analyze the tone and information amount in financial corporate announcements. We improve existing text processing methods by developing a different word selection approach that allows quantifying the sentiment of financial announcements in an intuitive, but...

The study introduces empirical evidence that there are statistically significant relationships between intensity of upcoming aggregate merger activity and the present values of the factors HML and SMB in the Fama-French three-factor model of assets pricing

We examine the relationship between the tonality of news flow and the cross section of expected stock returns. We use a comprehensive definition of media coverage that includes both financial newspapers and mass media, represented by TV broadcasts. Using the total news flow with positive and...

You're probably familiar, at least in passing, with the 'convexity' of long-term bonds - i.e. that yields dropping 1% produce a bigger price move than yields rising 1%. A significant amount of brainpower has gone into understanding all the ramifications of this convexity in the fixed income...

This paper presents a synthesized model explaining the returns of short-sale constrained stocks. We combine short-sale constraints that were previously treated individually or in pairs into a more fully specified model. The model is also specified in generally falling versus generally rising...