We examine the long-run equilibrium relation between the net flow of funds into equity mutual funds and the Samp;P 500 index. Applying the Engle and Granger error correction methodology followed by a state space procedure, we find that the levels of the stock market are influenced by the net...

Emotion plays a significant role in both institutional and individual investors' decision making process. However, there is a lack of empirical evidence available that addresses how investors' emotions affect commodity market returns. This study examines the short-term predictive power of...

We study the intertemporal risk-return tradeoff relations based on returns from 18 international markets. We find striking new empirical evidence that the inclusion of U.S. market returns significantly changes the estimated risk-return tradeoff relations in international markets from mostly...

We explore the predictive relation between high-frequency investor sentiment and stock market returns. Our results are based on a proprietary dataset of high-frequency investor sentiment, which is computed based on a comprehensive textual analysis of sources from news wires, internet news...