This paper conducts tests of the random walk hypothesis and market efficiency for 14 national public real estate markets. Random walk properties of equity prices influence the return dynamics and determine the trading strategies of investors. To examine the stochastic properties of local real...

This paper introduces a new sentiment-augmented asset pricing model and provides a com-prehensive understanding of the role of this sentiment-driven risk factors. We find that news andsocial media search-based indicators are significantly related to excess returns of internationalequity...

In this paper, we empirically investigate the degree of systemic risk in the U.S. banking sector versus other industry sectors. We characterize the systemic risk in each sector by the lower tail dependence of stock returns. Our study differs from extant literature in three respects. First, we...