Individual environmental variables may contain information that is obscured in aggregate environmental scores when forecasting future stock returns. We apply machinelearning methods to granular environmental variables and show that a long-short portfolio that longs stocks with high forecasted...

We examine how industry returns react to various oil shocks developed in Baumeister and Hamilton (2019) and find that oil supply shocks matter as much, if not more, as oil demand and economic activity shocks in driving industry returns. A long-short portfolio that buys (sells) industries...

High oil beta stocks earn higher returns than low oil beta stocks following periods of positive relationship between oil price changes and the aggregate market return, or following periods of favorable aggregate demand shock for industry commodities, and vice versa. When excluding high and low...

Individual environmental variables may contain information obscured in aggregate environmental scores for return forecasting. We apply machine learning methods to granular environmental variables and find that a long-short portfolio that longs stocks with high forecasted returns and sells stocks...

A high growth rate in labor hours per worker signals low future stock market returns and high future hiring. In the presence of an increase in the number of labor hours per worker, hiring becomes less responsive to the future discount rate. The growth rate in the number of labor hours per worker...

This paper examines how options traders trade daily stock market mispricing measured by short-term past return and put-call option volatility spread. Anomaly return is 7.31 basis points per day when customer option traders trade along with the anomaly signal and is insignificant when they trade...

We show strong over-extrapolation of earnings in the I/B/E/S managerial guidance. Firms whose earnings are less persistent, less volatile, or more salient exhibit more extrapolation. Managers who observe rapid growth in their local housing market also demonstrate more extrapolation, albeit...