Using a comprehensive database of corporate news, we find that bond funds trade against the direction of news sentiment. The trading against news phenomenon is concentrated in funds selling on positive news and in the post-financial crisis period when dealer liquidity provision is constrained....

Using a comprehensive database of corporate news, we examine how bond mutual funds trade on the sentiment of news releases. We find that bond funds trade against the direction of news sentiment (e.g., selling after good news about a firm). The results are more pronounced in bonds that lie within...

We examine institutional trading surrounding corporate news by combining a comprehensive database of newswire releases on U.S. firms with a high-frequency database of institutional trades. To identify the ability of institutions to predict or quickly interpret news, we form “news clusters”...

We use supervised machine learning to develop a financial sentiment dictionary from 3.1 million Chinese-language financial news articles. Our dictionary maps semantically similar words to a subset of human-expert generated financial sentiment words. In validation tests, our dictionary scores the...

Conference calls provide a public venue through which stock analysts simultaneously interact, in large numbers, with firm management. Using a comprehensive database of transcribed U.S. corporate conference calls from 2006 to 2018, we find that institutional investors significantly react to the...

Based on data until the mid 2000s, oil price changes were shown to predict international equity index returns with a negative predictive slope. Extending the sample to 2015, we document that this relationship has been reversed over the last ten years and therefore has not been stable over time....

This paper measures the time-varying provision of liquidity by buy-side customers (e.g., mutual funds and pension funds), relative to bond dealers, in corporate bond markets using a structural vector autoregression (SVAR) model. As indicated by my simple theory model, shocks to the relative...