This study investigates the Green premium of the Korean stock market. We apply the two-factor equilibrium model developed by Pástor, Stambaugh, and Taylor (2021a), which is composed of the Market and Green factors. The Green factor premium of the Korean stock market is estimated to be negative...

Economic theory predicts that (in the absence of mispricing) the excess return to socially responsible businesses is negative in equilibrium. In contrast, using the state-of-art empirical models and a sample spanning four decades (1984-2020), an equal-weighted portfolio of companies that treat...

An equal-weighted portfolio of Best Brands (BBs) in the U.S. earns an excess return of 25 to 35 bps per month during the period 2000-2020. This result is remarkably robust across various factor models and therefore is not driven by exposure to common (risk) factors. The excess returns of the BB...

The growth of social media has transformed how information is transmitted in the financial markets. It has impacted its primary users, the household investors' decision making on the stock market. Through Prospect theory, the household investors' unconditional trust in the social media for...

Text is inherently ambiguous. I use textual analysis to extract beliefs from financial news and social media sources to construct a Big Data ambiguity index. The index uses mixture of distributions that regards disagreement between sources and their individual uncertainties. Empirical results...