Previous research suggests that the Fama-French factors contain information about future economic activity and that the stock market may be inefficient. Considered together, these ideas hint that the Fama-French factors may have predictability power. This manuscript tests this implication. We...

The present paper proposes a new test that is particularly powerful against the type of alternative proposed by the recent behavioral models. When the test is applied to the data, there is evidence supporting the behavioral models in that (1) prices of stocks with more uncertainty and slower...

Does fake news in financial markets attract more investor attention and have a significant impact on stock prices? We use the SEC crackdown of stock promotion schemes in April 2017 to examine investor attention and the stock price reaction to fake news articles. Using data from Seeking Alpha, we...