This article assesses the communication of the European Central Bank (ECB) using Natural Language Processing (NLP) techniques. We show the evolution of discourse over time and capture the main themes of interest for the central bank that go beyond its traditional mandate of maintaining price...

This paper examines the implications of pricing errors and factors that are not strong for the Fama-MacBeth two-pass estimator of risk premia and its asymptotic distribution when T is fixed with n → ∞, and when both n and T → ∞, jointly. While the literature just distinguishes strong and...

Although there have been many empirical studies about systemic risk since the financial crisis of 2008, few have analyzed the systemic risk in the time-frequency domain. In this paper, based on wavelet analysis, the main time-frequency characteristics of China’s systemic risk, the...

The Internet Appendix collects the proofs and additional results that support the main text. We show in simulations that our estimators perform well relative to alternative estimators and can be improved even further with an iterative approach. We also confirm that the distribution results,...

Missing data is a prevalent, yet often ignored, feature of company fundamentals. In this paper, we document the structure of missing financial data and show how to systematically deal with it. In a comprehensive empirical study we establish four key stylized facts. First, the issue of missing...

Hint: these are not the Fama-French 3 factors and they are not even spanned by the Fama-French 5 factors. More importantly, they feature superior out-of-sample pricing performance compared to standard asset pricing models. What is “common” about these factors? We identify the factor space...

Basic asset pricing theory predicts high expected returns are a compensation for risk. However, high expected returns might also constitute anomalies due to frictions or behavioral biases. We propose two complementary simple-to-use tests to assess whether risk can explain differences in expected...

The probability of informed trading (PIN) is a commonly used market microstructure measure for detecting the level of information asymmetry. Estimating PIN can be problematic due to corner solutions, local maxima and floating point exceptions (FPE). Yan and Zhang (2012) show that whilst...

The study proposed a six-factor asset pricing model to explain global returns. The study employed the global version of the six-factor model, besides Carhart four-factor and Fama–French five-factor models, to test the integrated international asset pricing hypothesis. Fama-MacBeth two-step...

We propose a new pseudo-Siamese Network for Asset Pricing (SNAP) model, based on deep learning approaches, for conditional asset pricing. Our model allows for the deep alpha, deep beta and deep factor risk premia conditional on high dimensional observable information of financial characteristics...