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...

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...

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...