We construct a monthly Presidential Economic Approval Rating (PEAR) index from 1981 to 2019, by averaging ratings on president’s handling of the economy across various national polls. In the cross-section, stocks with high betas to changes in the PEAR index significantly under-perform those...

Time series momentum (TSM) refers to the predictability of the past 12-month return on the next one-month return and is the focus of several recent influential studies. This paper shows that asset-by-asset time series regressions reveal little evidence of TSM, both in- and out-of-sample. While...

We propose a new investor sentiment index that is aligned with the purpose of predicting the aggregate stock market. By eliminating a common noise component in sentiment proxies, the new index has much greater predictive power than existing sentiment indices both in- and out-of-sample, and the...

Unlike traditional asset categories (e.g., industry classifications) that are generally defined clearly, some groups of stocks are tied to a certain loosely defined “concept” (e.g., e-commerce). When investors find it difficult to analyze ambiguous concept-oriented information, information...

We investigate the impact of potential information hiding or disclosure delay originated from private subsidiaries on the future returns of their public parent firms. We find a significantly positive link between private subsidiaries' information disclosure (PSID) and the cross-section of future...

Media news may cover multiple firms in one article, which establishes a media connection across firms. We propose a media connection strength (MCS) measure, which defined as the number of news articles co-mentioning two firms. We find that the MCS measure can capture soft information about the...

This work aims to investigate the (inter)relations of information arrival, news sentiment, volatility and jump dynamics of intraday returns. Two parametric GARCHtype jump models which explicitly incorporate both news arrival and news sentiment variables are proposed, among which one assumes news...