Showing 1 - 10 of 94
We propose a novel framework for analyzing linear asset pricing models: simple, robust, and applicable to high dimensional problems. For a (potentially misspecified) standalone model, it provides reliable risk premia estimates of both tradable and non-tradable factors, and detects those weakly...
Persistent link: https://www.econbiz.de/10012846927
Persistent link: https://www.econbiz.de/10012831260
Persistent link: https://www.econbiz.de/10012214075
Persistent link: https://www.econbiz.de/10012214084
Persistent link: https://www.econbiz.de/10012205744
Persistent link: https://www.econbiz.de/10012205745
Persistent link: https://www.econbiz.de/10014311367
In the past few years, the U.S. options markets experienced a major inflow of retail investors, who are young and tech-savvy, yet largely inexperienced. We show that this trend coincides with an increase in call option contracts left suboptimally unexercised. Market makers (and other...
Persistent link: https://www.econbiz.de/10014235829
Using the full text of 200 million pages of 13,000 US local newspapers and state-of-the-art machine learning methods, we construct a novel 170-year-long time series measure of economic sentiment at the country and state level, which expands the existing measures in both the time series (by over...
Persistent link: https://www.econbiz.de/10014238822
Persistent link: https://www.econbiz.de/10014437705