We study whether investors can exploit serial dependence in stock returns to improve out-of-sample portfolio performance. We show that a vector-autoregressive (VAR) model captures stock return serial dependence in a statistically significant manner. Analytically, we demonstrate that, unlike...

We introduce a method that identifies firm-level climate change exposure from conversations in the earnings conference calls of more than 10,000 firms from 34 countries between 2002 and 2019. The method adapts a machine learning keyword discovery algorithm and captures exposures related to...