We investigate the impact of financial news on equity returns and introduce a non-parametric model to generate a sentiment signal, which is then used as a predictor for short-term, single-stock equity return forecasts.We build on Google's BERT model (for Bidirectional Encoder Representations for...

This paper investigates whether industry affiliation matters to implementing industry momentum strategies. After discriminating between relevant and redundant industries it shows that only a subset corresponding to less than 50% of the overall market capitalization generates significant momentum...

We investigate how systematic, continuous, and discrete (jump) risk affects the cross section of expected stock returns in Southeast Asia. Using the latest econometric techniques and a high-frequency dataset, we construct two high-frequency betas associated with intraday continuous and...

This paper examines the cross-sectional relation between leverage and future stock returns. Prior research documents a puzzling negative correlation. We show that it is largely caused by firms' use of internal financing when having significant off-balance-sheet operating assets due to...

I extend financial literature by presenting a model that expresses a firm's expected stock return as a function of the expected free cash flow growth, as opposed to dividends or profits. I find empirical evidence which supports the hypothesis that realized cash flow growth and expected cash flow...

This research examines the influence of world crude oil price shocks on the financial performance of Vietnamese oil- and gas-related firms. Based on copula approach and the sample data of domestic giant oil- and gas firms from 2009 to 2019, in particular in the situation of oil price steadily...

This paper analyzes why corporate governance matters for stock returns if the stock market prices the underlying managerial agency problem correctly. Our theory assumes that strict corporate governance prevents managers from diverting cash flows, but reduces incentives for managerial effort. In...

In this paper, we propose a new method to estimate non-fundamental demandshocks for green financial assets based on the arbitrage activity of exchange-tradedfunds (ETFs). By estimating the monthly abnormal flows into environment-friendlyETFs, we construct a Green Sentiment Index that captures...