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...

To attenuate an inherent errors-in-variables bias, portfolios are widely employed for risk premium estimation; but portfolios might diversify away and thus mask relevant risk- or return-related features of individual assets. We propose a resolution that allows the use of individual assets while...

To attenuate an inherent errors-in-variables bias, portfolios are widely employed to test asset pricing models; but portfolios might mask relevant risk- or return-related features of individual assets. We propose an instrumental variables approach that allows the use of individual stocks as test...

This paper investigates whether analysts' estimates of firm fundamental value transmit unique information to security markets. Previous work has not studied analyst value estimates because of the scarcity of the release of such data. This study circumvents that limitation by considering the one...

We conduct empirical tests of a simplified version of the ratio habit model developed in Abel(1990), in which habit is extended beyond the preceding period. We show that change in four-year consumption growth---the measure of consumption resulting from our ratio habit preference---explains the...

We propose an estimator for the stochastic discount factor (SDF) that does not require macroeconomic proxies or preference assumptions. It depends only on observed asset returns, yet is immune to the form of the multivariate return distribution, including the distribution's factor structure....

The Fama-Macbeth (1973) rolling-beta method is widely used for estimating risk premiums, but its inherent errors-in-variables bias remains an unresolved problem, particularly when using individual assets or macroeconomic factors. We propose a solution with a particular instrumental variable,...

We make a case that characteristics-based long-short factors should be constructed by the slope factor method rather than by sorting methods. This is because sorting does not fully control for the influence of omitted characteristics, rendering them more noisy than slope factors. In contrast,...