This study examines the stock market entry and exit decisions of U.S. households. We find that around 25% of households enter or exit from their non-retirement investment accounts biennially. Cross-sectional and time-series tests indicate that income risk affects equity ownership turnover. A...

Should long-term investors account for time-variation in model parameters? We develop a time-varying Vector Autoregressive model that can handle time-variation in intercepts, slopes, volatility and correlation, the leverage effect in volatility and fat tails. Long-term investors should take...

A value investing strategy consists of purchasing stocks relatively undervalued to their funda-mental values and selling those relatively overvalued. Finding this kind of companies has been one of the most challenging goals for investors throughout the history. The main objective of this paper...

This study shows how correlated information consumption (CIC) of retail investors relates to comovement in stock market outcomes. We construct clusters of stocks with CIC by employing network analysis on Google co-search data. We predict significant comovement in returns and liquidity of stocks...

Most existing text-based sentiment measures in finance are lexicon-based which are effectively based on word counts of positive and negative sentiment dictionaries, and naturally lose most information. We measure news sentiment using BERT, a state-of-the-art large language model, which reads and...

Choosing the appropriate risk criterion has always been one of the main challenges for financial and economic analysts. The goal of this research is to optimize the average portfolio using a multi-layer neural network. In this research, a new model of multilayer neural network has been...