We propose news sentiment as a new explanatory variable for interest rates. Using articles related to interest rates, inflation, and the labor market we demonstrate the in-sample predictive power of sentiment on the short-rate applying the Taylor rule and a threshold autoregressive model. This...

We empirically investigate how retail and institutional investor attention is related to the way stock markets process information. With a focus on 360 US stocks in the S&P 500 universe, our results show that higher retail investors' attention around news releases increases the post-announcement...

We document that cross-sectional return predictions based on OLS and Lasso type linear methods contain no predictive power for large cap stocks over the last decades. Small and micro cap stocks are highly predictable throughout the entire sample. Based on the 68 firm characteristics (FC)...