We examine the impact of multidimensional stock market liquidity on business cycles that captures the key market liquidity characteristics. Using seven different liquidity measures, we find that the effect of liquidity on economic growth and recessions differs among liquidity measures in the US...

The 7th World Pensions Forum was held 22-23 March at the École Nationale des Beaux-Arts, a cradle of modern European culture. 120 pension executives and board members representing more than $10 trillion in combined wealth convened in Paris to discuss the regulatory and governance impact of...

We evaluate machine learning in investment research and find that forecasts of volatility derived from analyst and machine-learning output have similar explanatory power. Both predictions can benefit by incorporating information from the other and both are more accurate in common law than in...

Using audio recordings, we study uptalk (rising intonation) by executives in earnings calls. Unexpected uptalk by female, but not male, executives predicts lower earnings. Analysts respond to female uptalk with lower recommendations and earnings forecasts, although these do not fully reflect the...

We find that the salience distortions of past fundamental information significantly predict future analyst forecast errors in both Chinese and U.S. markets. Fundamental salience is more potent in distorting long-term beliefs. Predictable forecast errors are more pronounced in firms with opaque...

This paper provides a novel perspective on the relationship between news sentiments and exchange rate dynamics. Using an extensive dataset of media coverage for the five biggest economies in Latin America from 2011 until 2021, we show that national sentiments and media attention have significant...

We provide empirical evidence that risk-averse investors avoid stocks with signs of increasing uncertainty, missing 1.02 percentage points in next-month returns. The observed effect counteracts short-term reversal and supports convex risk aversion. Moreover, anxiety predicts cross-sectional...

The increasing role of social media in financial markets has encouraged retail traders to "buy the dip" (BTD). We present a simple paradigm describing this strategy in terms of dip size and purchase smoothing. The empirical investigation considers different specifications and testing periods....

This paper investigates the role of investor attention in forecasting realized volatility for fourteen international stock markets, by means of Google Trends data, over the sample period January 2004 through November 2021. We devise an augmented Empirical Similarity model that combines three...