This paper examines the impact of structural oil price shocks on the covariance of U.S. stock market return and stock market volatility. We construct from daily data on return and volatility the covariance of return and volatility at monthly frequency. The measures of daily volatility are...

An examination of the Shiller cyclically adjusted pricing-earnings (CAPE) ratio reveals its forecasting power for 12-month CRSP equally weighted (EW) excess returns and value weighted (VW) excess returns. The 12-month EW excess returns following low CAPE ratios are, on average, 20.7% higher than...

We study the role of E-commerce livestream flows growth in the stock price discovery process. Using a proprietary data set on firm-level E-commerce livestream flows records during July 2016 to December 2020 from the leading E-commerce livestream platform in China, we find that E-commerce...

We analyze methods for selecting topics in news articles to explain stock returns. We find, through empirical and theoretical results, that supervised Latent Dirichlet Allocation (sLDA) implemented through Gibbs sampling in a stochastic EM algorithm will often overfit returns to the detriment of...

A closet indexer is more likely to meet a value-weighted investment benchmark by value-weighting the portfolio. Following this intuition, we introduce a simple measure of active management, the absolute difference between the value weights and the actual weights held by a fund, averaged across...

The average hedge fund represented by the HFRI Fund Weighted Composite Index of more than 2,000 funds lost 19 percent in 2008 but turned around and gained 20 percent in 2009. Was this extreme performance due to alpha or to embedded betas? The most-quoted measure of volatility is the VIX Index....

Why were the returns of stocks with low book-to-market ratios and high market capitalization's lower, on average, than the returns of stocks with high book-to-market ratios and low market capitalization's? In this paper we pit the characteristics hypothesis against the affect hypothesis. The...

Why were the returns of stocks with low book-to-market ratios and high market capitalizations lower, on average, than the returns of stocks with high book-to-market ratios and low market capitalizations? In this paper we pit the characteristics hypothesis against the affect hypothesis. The...

Which market has leading informational advantage: stocks or options? Using large set of stock and option characteristics, and machine learning, we provide a comprehensive analysis of which characteristics are the first order importance predictors of options and stock returns. First, we find that...