Using textual analysis of stock message board posts, we find that investors’ sentiment expressed through messages can predict future one-day stock returns. For small stocks, message board sentiment can predict up to two-day cumulative future returns. This increased predictive power on small...

We consider the estimation methods for the rank of a beta matrix corresponding to a multifactor model and study which method would be appropriate for data with a large number of assets. Our simulation results indicate that a restricted version of Cragg and Donald's (1997) Bayesian Information...