I use 1.38 million TV news transcripts to investigate the relationship between U.S. home prices and immigration narrative sentiment. One standard deviation orthogonalized shock to the sentiment Granger-causes a statistically significant and economically meaningful increase in home prices. The...

This paper studies the characteristics of firm level equity volatility. There is a lack of consensus in the finance literature as to the relative statistical and economic significance of the leverage and feedback effects on equity volatility. We provide a dynamic framework to investigate...

The narrative of homeownership for all citizens is a uniquely American story. Narrative economics is a field that studies the spread of stories to explain economic fluctuations. We quantitatively examine the relationship between the American housing narrative and the run-up in home prices...

The narrative of homeownership for all citizens is a uniquely American story. Narrative economics is a field that studies the spread of stories to explain economic fluctuations. We quantitatively examine the relationship between the American housing narrative and the run-up in home prices...

We compare option-implied correlation forecasts from a dataset consisting of over 10 years of daily data on over-the-counter (OTC) currency option prices to a set of return-based correlation measures and assess the relative quality of the correlation forecasts. We find that while the predictive...

This paper determines the ranking of the publications units of assessment which were submitted to the UK research evaluation carried out in 2014, the REF, which would have been obtained if their submission had been evaluated with the bibliometric algorithm used by the Italian evaluation agency,...

We re-examine the relationship between exchange rate movements and firm value. We estimate the exchange rate exposure of publicly listed U.S. firms clustered into eleven industries. Using a panel approach, we uncover statistically significant and sizable unconditional exposure. We also examine...

We re-examine the relationship between exchange rate movements and firm value. We estimate the exchange rate exposure of publicly listed U.S. firms clustered into eleven industries. Using a panel approach, we uncover statistically significant and sizable unconditional exposure. We also examine...