We use intraday data to estimate the daily foreign exchange exposure of U.S. multinationals and show that macroeconomic news affects these firms’ foreign exchange exposure. News creates a substantial shift in the joint distribution of stock and exchange rate returns that has both a...

Modern calculation of textual sentiment involves a myriad of choices for the actual calibration. We introduce a general sentiment engineering framework that optimizes the design for forecasting purposes. It includes the use of the elastic net for sparse data-driven selection and weighting of...

We perform a large-scale empirical study to compare the forecasting performance of single-regime and Markov-switching GARCH (MSGARCH) models from a risk management perspective. We find that, for daily, weekly, and ten-day equity log-returns, MSGARCH models yield more accurate Value-at-Risk,...

We empirically test the prediction of Pastor, Stambaugh, and Taylor 2020 that green firms can outperform brown firms when climate change concerns strengthen unexpectedly for S&P 500 companies over the period January 2010 - June 2018. To capture unexpected increases in climate change concerns, we...

In the Web Appendix to the paper by Ardia et al. (2017), we provide additional results regarding the implementation and the performance when the PRCC is computed with downside-risk measures. We further test the sensitivity to the value of the bound on the tracking error constraint and discuss...

The Margrabe Best-of-two (MBo2) strategy is a rule-based dynamic investment solution for the two-asset allocation problem. Its typical implementation involves yearly rebalancing the portfolio weights to 50-50 between a high-risk and low-risk asset. It uses intra-year weight adjustments to chase...

Full Paper is available at: 'https://ssrn.com/abstract=2839781' https://ssrn.com/abstract=2839781In the supplementary appendix to the paper Boudt, Cornilly, and Verdonck (2018) we discuss the impact of autocorrelation and a time-varying structure on the estima- tion of coskewness matrices and...

The tone of a firm's financial disclosure is increasingly used as a variable in panel data regressions to predict future performance and explain investors' reaction at earnings announcement. We investigate whether tone is informative, and argue that the informativeness of tone increases with the...