Is the US stock market overvalued? I use Shiller's CAPE to predict the return of investing in the S&P500 index. Siegel argues that the recent fall in the share of earnings that are paid out as dividends has biased downwards predictions from the CAPE. I offer a solution to the problem of reduced...

This paper uses R/S analysis and fractional integration techniques to examine the persistence of two sets of 12 ESG and conventional stock price indices from the MSCI database over the period 2007-2020 for a large number of both developed and emerging markets. Both sets of results imply that...

Recent advances in natural language processing have contributed to the development of market sentiment measures through text content analysis in news providers and social media. The effectiveness of these sentiment variables depends on the implemented techniques and the type of source on which...

This paper examines continuous-time models for the S&P 100 index and its constituents. We find that the jump process of the typical stock looks significantly different than that of the index. Most importantly, the average size of a jumps in the returns of the typical stock is positive, while it...