This paper introduces a new sentiment-augmented asset pricing model and provides a com-prehensive understanding of the role of this sentiment-driven risk factors. We find that news andsocial media search-based indicators are significantly related to excess returns of internationalequity...

We study the micro-level evolution of residential house prices using data on repeat sales on Manhattan Island from 2004 to 2015. We document that excess price comovement is a highly local and persistent phenomenon. The strength of such excess comovements vanishes with both spatial and temporal...