Using a novel dataset of media sentiment concerning macroeconomic developments, we show that sentiment for economic growth, inflation, unemployment, and bond prices predict hedge fund returns. We blend these proxies with social disorder and political sentiment to create a broad macro sentiment...

We examine whether being a hedge fund has any differential effect on the previously documented empirical relation between investment horizon and informativeness of institutional investors’ trades. We find that the positive and significant relation between short-term institutional demand and...

We develop a general equilibrium model where investors experience money and nominal-price illusions. Our theoretical results show that the compounding effects of money and nominal-price illusions increase (decrease) stock prices (yields). Our empirical analysis documents that the effect of money...