We analyze the daily predictability of investor sentiment across four major asset classes and compare sentiment measures based on news and social media with those based on trade information. For the majority of assets, trade-based sentiment measures outperform their text-based equivalents for...

We provide the first comprehensive analysis of option information for pricing the cross-section of stock returns by jointly examining extensive sets of firm and option characteristics. Using portfolio sorts and high-dimensional methods, we show that certain option measures have significant...

We propose an employee sentiment index, complementing investor sentiment and manager sentiment indices, and find that high employee sentiment predicts low monthly (weekly) market returns significantly both in- and out-of-sample. The predictability can also deliver sizable economic gains for...

We provide the first comprehensive analysis of options-implied information for predicting the cross-section of stock returns by jointly examining extensive sets of firm and option characteristics. Using portfolio sorts and high-dimensional methods, we show that only few option characteristics...

Whether or not anomalies are due to mispricing or risk is an important question. We examine the causal effect of a novel shock to short selling, the Job and Growth Tax Relief Reconciliation Act (JGTRRA) of 2003, on an extensive set of 182 anomalies. We find that anomalies become stronger after...