Using a large database of the US institutional investors' trades, this paper sheds new light on the question of anomalies-based portfolio transaction costs. We find that the real costs paid by large investors to implement the well-identified Fama-French anomalies (size, value, investment, and...

Using textual data extracted by Causality Link platform from a large variety of news sources (news stories, call transcripts, broker research, etc.), we build aggregate news signals that take into account the tone, the tense and the prominence of various news statements about a given firm. We...

Using textual data extracted from a large variety of news sources, we build an aggregate news signal taking into account the tone and tense of various news statements about a given firm. We test the informational content of this signal and examine how news about events happening in different...

In this paper, we propose a new method to estimate non-fundamental demandshocks for green financial assets based on the arbitrage activity of exchange-tradedfunds (ETFs). By estimating the monthly abnormal flows into environment-friendlyETFs, we construct a Green Sentiment Index that captures...