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...

In this paper, we provide the asymptotic theory for the widely used Fama and MacBeth (1973) two-pass regression in the usual case of a large number of assets. We find that the convergence of the OLS two-pass estimator depends critically on the time series sample size in addition to the number of...

In this article, the authors find that a typical application of volatility-timing strategies to the stock market suffers from a look-ahead bias, despite existing evidence on successes of the strategies at the stock level. After correcting the bias, the strategy becomes very difficult to...