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...

This paper analyzes the problem of matching two heterogeneous populations, e.g., men and women. If the payoff from a match exhibits complementarities, it is well known that absent any friction positive assortative matching is optimal (PAM). Coarse matching refers to a situation in which the...

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...

What is the role of creditors in shaping the design of risk-taking incentives in managerial compensation? This paper provides empirical evidence by investigating how the trading of credit default swaps (CDS) shapes the design of CDS-referenced firm's managerial compen- sation, especially its...

In this paper, we consider the problem that a benevolent designer wants to provide a non-excludable public good with a fixed cost to agents with privately known valuations. Adopting utilitarian's point of view, the designer maximizes the ex-ante total utility of all agents. The impossibility...