Technical analysis, also known as “charting,” has been a part of financial practice for many
decades, but this discipline has not received the same level of academic scrutiny and …

We propose a dynamic equilibrium model of asset prices and trading volume when agents
face fixed transactions costs. We show that even small fixed costs can give rise to large “no‐…

This article develops a Kalman filter model to track dynamic mutual fund factor loadings. It
then uses the estimates to analyze whether managers with market-timing ability can be …

We develop a classification methodology for the context and content of news articles to
predict risk and return in stock markets in 51 developed and emerging economies. A …

This paper proposes a simple back testing procedure that is shown to dramatically improve
a panel data model's ability to produce out of sample forecasts. Here the procedure is used …

In this paper, we analyze the optimal policy for a risk averse agent who wants to sell a large
block of shares of a risky security in the presence of price impact and transactions costs. Our …

This paper presents a model in which investors cannot remain in the market to trade at all
times. As a result they have an incentive to set up trading firms or financial market …

In times of great economic and market stress, asset prices often respond dramatically to news
about underlying economic or market conditions. This was true during the global financial …

An increase in “unusual” news with negative sentiment predicts an increase in stock market
volatility. Unusual positive news forecasts lower volatility. Our analysis is based on over …

We derive a measure of firm-level regulatory exposure from the text of corporate earnings
calls. We use this measure to study the effect of regulation on companies’ growth, leverage, …