The use of dictionaries in financial sentiment analysis and other financial and economic applications remains widespread because keyword-based methods appear more transparent and explainable than more advanced techniques commonly used in computer science. However, this paper demonstrates the...

We explore the performance of mixed-frequency predictive regressions for stock returns from the perspective of a Bayesian investor. We develop a constrained parameter learning approach for sequential estimation allowing for belief revisions. Empirically, we find that mixed-frequency models...

We study market-timing strategies on a given portfolio to achieve a particular risk or return target. Targeting a constant risk level leads to increasing investment at better investment opportunities whereas targeting a constant expected return does the opposite. Theoretical and numerical...