pt. I. Asset pricing and investments -- 1. Markov switching models in asset pricing research / Massimo Guidolin -- 2. Portfolio optimization: theory and practical implementation / William T. Ziemba -- 3. Testing for speculative bubbles in asset prices / Keith Anderson, Chris Brooks and Apostolos...

This paper tests for speculative bubbles in the medieval English property market based on a unique hand-collected dataset from the feet of fines spanning the fourteenth and fifteenth centuries. We focus on asset types where there are sufficiently large numbers of transactions each year to make a...

The link between news and investor decision making is widely discussed in the literature. Utilising unique U.S. firm-level news data between 1979 and 2016, we document a cross-sectional difference in the speed of the diffusion of information contained in news. We distinguish news articles as...

A well-known asset pricing anomaly, the "MAX" effect, measured by the maximum daily return in the past month, depicts stocks' lottery-like features and investor gambling behaviour. Using the comprehensive stock-level Dow Jones (DJNS) news database between 1979 and 2016, we consider in a...