This document has not been cited yet.

1. Antweiler, W., Frank, M.Z., 2001. Is all that talk just noise? The information content of internet stock message boards. The Journal of Finance 59, 1259–1294.
   Paper not yet in RePEc: Add citation now
   
2. Benoit, K., Watanabe, K., Wang, H., Nulty, P., Obeng, A., Müller, S., Matsuo, A., 2018. quanteda: An R package for the quantitative analysis of textual data. Journal of Open Source Software 3, 774.
   Paper not yet in RePEc: Add citation now
   

3. Cochrane, J.H., 2011. Presidential address: Discount rates. The Journal of Finance 66, 1047–1108.

4. Cookson, J.A., Niessner, M., 2020. Why don’t we agree? Evidence from a social network of investors. The Journal of Finance 75, 173–228.

5. Engelberg, J., McLean, R.D., Pontiff, J., 2018. Anomalies and news. The Journal of Finance 73, 1971–2001.

6. Esuli, F.A., Sebastiani, 2006. SentiWordNet: A publicly available lexical resource for opinion mining, in: Proceedings of the Fifth International Conference on Language Resources and Evaluation (LREC 2006).
   Paper not yet in RePEc: Add citation now
   

7. Friedman, J., Hastie, T., Tibshirani, R., 2010. Regularization paths for generalized linear models via coordinate descent. Journal of Statistical Software 33, 1–22.

8. Gentzkow, M., Kelly, B., Taddy, M., 2019. Text as data. The Journal of Economic Literature 57, 535–74.

9. Green, J., Hand, J.R.M., Zhang, X.F., 2017. The characteristics that provide independent information about average U.S. monthly stock returns. The Review of Financial Studies 30, 4389–4436.

10. Hong, H., Stein, J.C., 2007. Disagreement and the stock market. The Journal of Economic Perspectives 21, 109–128. URL: https://www.aeaweb.org/articles?id= 10.1257/jep.21.2.109, doi:10.1257/jep.21.2.109.

11. Ke, Z., Kelly, B.T., Dacheng, X., 2020. Predicting returns with text data. Working paper.
    Paper not yet in RePEc: Add citation now
    
12. Kessler, J.S., 2017. Scattertext: a browser-based tool for visualizing how corpora differ, in: Proceedings of ACL-2017 System Demonstrations, Association for Computational Linguistics, Vancouver, Canada.
    Paper not yet in RePEc: Add citation now
    
13. Li, F., 2010. The information content of forward-looking statements in corporate filings—a naı̈ve bayesian machine learning approach. The Journal of Accounting Research 48, 1049–1102.
    Paper not yet in RePEc: Add citation now
    

14. Livnat, J., Mendenhall, R.R., 2006. Comparing the post–earnings announcement drift for surprises calculated from analyst and time series forecasts. Journal of Accounting Research 44, 177–205.

15. Loughran, T., McDonald, B., 2011. When is a liability not a liability? Textual analysis, dictionaries, and 10-Ks. The Journal of Finance 66, 35–65.

16. Loughran, T., McDonald, B., 2020. Textual analysis in finance. Working paper.

17. Muslu, V., Radhakrishnan, S., Subramanyam, K.R., Lim, D., 2015. Forward-looking MD&A disclosures and the information environment. Management Science 61.

18. Taboada, M., 2015. Sentiment analysis: An overview from linguistics. Annual Review of Linguistics 2, 1–23.
    Paper not yet in RePEc: Add citation now
    

19. Tetlock, P.C., Saar-Tsechansky, M., Macskassy, S., 2008. More than words: Quantifying language to measure firms’ fundamentals. The Journal of Finance 63, 1437–1467.

20. Wiebe, J., 1994. Tracking point of view in narrative. Computational Linguistics 20, 233–287.
    Paper not yet in RePEc: Add citation now
    

21. Zou, H., 2006. The adaptive lasso and its oracle properties. Journal of the American Statistical Association 101, 1418–1429.

1. The fiscal root of inflation. (2022). Cochrane, John.
   In: Review of Economic Dynamics.
   RePEc:red:issued:20-493.

   Full description at Econpapers || Download paper

2. Asset Pricing Tests, Endogeneity issues and Fama-French factors. (2022). Allen, David.
   In: MPRA Paper.
   RePEc:pra:mprapa:113610.

   Full description at Econpapers || Download paper

3. Liquidity, the government balance sheet, and the public sector discount rate. (2019). Coleman, Andrew.
   In: Working Papers.
   RePEc:mtu:wpaper:19_13.

   Full description at Econpapers || Download paper

4. A Macroeconomic Approach to the Term Premium. (2018). Williams, Peter D ; Kopp, Emanuel.
   In: IMF Working Papers.
   RePEc:imf:imfwpa:2018/140.

   Full description at Econpapers || Download paper

5. Growth options and firm valuation. (2017). Weiss, Farina ; Schwartz, Eduardo ; Kraft, Holger.
   In: SAFE Working Paper Series.
   RePEc:zbw:safewp:6.

   Full description at Econpapers || Download paper

6. Financial Markets, Banks Cost of Funding, and Firms Decisions: Lessons from Two Crises. (2016). Schiantarelli, Fabio ; Brancati, Emanuele ; Balduzzi, Pierluigi.
   In: Boston College Working Papers in Economics.
   RePEc:boc:bocoec:824.

   Full description at Econpapers || Download paper

7. Booms, Busts and Behavioural Heterogeneity in Stock Prices. (2015). Hommes, Cars.
   In: Tinbergen Institute Discussion Papers.
   RePEc:tin:wpaper:20150088.

   Full description at Econpapers || Download paper

8. Correcting “Beyond the Cycle: Accounting for Asset Prices in Structural Fiscal Balances. (2015). Poghosyan, Tigran ; Mattina, Todd D ; Liu, Estelle X.
   In: IMF Working Papers.
   RePEc:imf:imfwpa:2015/109.

   Full description at Econpapers || Download paper

9. The Good? The Bad? The Ugly? Which news drive (co)variation in Swiss and US bond and stock excess returns?. (2014). Nitschka, Thomas.
   In: Working Papers.
   RePEc:snb:snbwpa:2014-01.

   Full description at Econpapers || Download paper

10. Are there common factors in individual commodity futures returns?. (2014). Skiadopoulos, George ; KOSTAKIS, ALEXANDROS ; Daskalaki, Charoula.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:40:y:2014:i:c:p:346-363.

    Full description at Econpapers || Download paper

11. Understanding Asset Prices. (2013). Committee, Nobel Prize.
    In: Nobel Prize in Economics documents.
    RePEc:ris:nobelp:2013_001.

    Full description at Econpapers || Download paper

12. Predicting aggregate returns using valuation ratios out-of-sample. (2013). Sequeira, Ana.
    In: Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies.
    RePEc:ptu:bdpart:b201310.

    Full description at Econpapers || Download paper

13. Model uncertainty and expected return proxies. (2013). Jäckel, Christoph ; Jackel, Christoph .
    In: MPRA Paper.
    RePEc:pra:mprapa:51978.

    Full description at Econpapers || Download paper

14. Waves in Ship Prices and Investment. (2013). Hanson, Samuel ; Greenwood, Robin.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:19246.

    Full description at Econpapers || Download paper

15. X-CAPM: An Extrapolative Capital Asset Pricing Model. (2013). Shleifer, Andrei ; Jin, Lawrence ; Greenwood, Robin ; Barberis, Nicholas.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:19189.

    Full description at Econpapers || Download paper

16. Finance: Function Matters, not Size.. (2013). Cochrane, John.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:18944.

    Full description at Econpapers || Download paper

17. Conditional Risk Premia in Currency Markets and Other Asset Classes. (2013). Weber, Michael ; Maggiori, Matteo ; Lettau, Martin.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:18844.

    Full description at Econpapers || Download paper

18. Growth Options and Firm Valuation. (2013). Kraft, Holger ; Weiss, Farina ; Schwartz, Eduardo S..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:18836.

    Full description at Econpapers || Download paper

19. A Mean-Variance Benchmark for Intertemporal Portfolio Theory. (2013). Cochrane, John.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:18768.

    Full description at Econpapers || Download paper

20. Expectations of Returns and Expected Returns. (2013). Shleifer, Andrei ; Greenwood, Robin.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:18686.

    Full description at Econpapers || Download paper

21. External Habit in a Production Economy. (2013). Chen, Andrew.
    In: 2013 Papers.
    RePEc:jmp:jm2013:pch1244.

    Full description at Econpapers || Download paper

22. Financial Markets, Banks Cost of Funding, and Firms Decisions: Lessons from Two Crises. (2013). Schiantarelli, Fabio ; Brancati, Emanuele ; Balduzzi, Pierluigi.
    In: IZA Discussion Papers.
    RePEc:iza:izadps:dp7872.

    Full description at Econpapers || Download paper

23. The Real Consequences of Financial Stress. (2013). Semmler, Willi ; Mittnik, Stefan.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2013-011.

    Full description at Econpapers || Download paper

24. The Inefficient Markets Hypothesis: Why Financial Markets Do Not Work Well in the Real World. (2013). Venditti, Alain ; Farmer, Roger ; Roger E. A. Farmer, ; Nourry, Carine.
    In: Working Papers.
    RePEc:hal:wpaper:halshs-00796672.

    Full description at Econpapers || Download paper

25. Mutual fund performance in Tunisia: A multivariate GARCH approach. (2013). Hammami, Yacine ; Jilani, Faouzi ; Oueslati, Abdelmonem .
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:29:y:2013:i:c:p:35-51.

    Full description at Econpapers || Download paper

26. The impact of (global) business cycle risk on the German and British stock markets: Evidence from the first age of globalization. (2013). Nitschka, Thomas.
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:22:y:2013:i:3:p:118-124.

    Full description at Econpapers || Download paper

27. Estimating and testing beta pricing models on industries. (2013). Hammami, Yacine ; Lindahl, Anna .
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:69:y:2013:i:c:p:45-63.

    Full description at Econpapers || Download paper

28. The real consequences of financial stress. (2013). Semmler, Willi ; Mittnik, Stefan.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:37:y:2013:i:8:p:1479-1499.

    Full description at Econpapers || Download paper

29. Two gold return puzzles. (2013). Kolev, Gueorgui I..
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-13-00379.

    Full description at Econpapers || Download paper

30. The Inefficient Markets Hypothesis: Why Financial Markets Do Not Work Well in the Real World. (2013). Venditti, Alain ; Farmer, Roger ; Roger E. A. Farmer, .
    In: AMSE Working Papers.
    RePEc:aim:wpaimx:1311.

    Full description at Econpapers || Download paper

31. Finance: Function Matters, Not Size. (2013). Cochrane, John.
    In: Journal of Economic Perspectives.
    RePEc:aea:jecper:v:27:y:2013:i:2:p:29-50.

    Full description at Econpapers || Download paper

32. The term structure of bond market liquidity conditional on the economic environment: An analysis of government guaranteed bonds. (2012). .
    In: Working Paper Series in Economics.
    RePEc:zbw:kitwps:45.

    Full description at Econpapers || Download paper

33. How to use demand systems to evaluate risky projects, with an application to automobile production. (2012). Huse, Cristian ; Friberg, Richard.
    In: MPRA Paper.
    RePEc:pra:mprapa:48906.

    Full description at Econpapers || Download paper

34. Consumption dynamics in general equilibrium. (2012). Hall, Jamie.
    In: MPRA Paper.
    RePEc:pra:mprapa:43933.

    Full description at Econpapers || Download paper

35. Rational Speculators, Contrarians and Excess Volatility. (2012). Lof, Matthijs.
    In: MPRA Paper.
    RePEc:pra:mprapa:43490.

    Full description at Econpapers || Download paper

36. Variance Risk Premium Differentials and Foreign Exchange Returns. (2012). Aloosh, Arash ; Arash, Aloosh .
    In: MPRA Paper.
    RePEc:pra:mprapa:40829.

    Full description at Econpapers || Download paper

37. Asset returns and the investment choices of New Zealanders. (2012). Watson, Elizabeth.
    In: Reserve Bank of New Zealand Bulletin.
    RePEc:nzb:nzbbul:sep2012:05.

    Full description at Econpapers || Download paper

38. Risk, return, and beyond: A conceptual analysis of some factors influencing New Zealanders’ investment decisions. (2012). Watson, Elizabeth.
    In: Reserve Bank of New Zealand Analytical Notes series.
    RePEc:nzb:nzbans:2012/07.

    Full description at Econpapers || Download paper

39. Digesting Anomalies: An Investment Approach. (2012). Zhang, Lu ; Hou, Kewei ; Xue, Chen.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:18435.

    Full description at Econpapers || Download paper

40. A Theory of Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks. (2012). Papanikolaou, Dimitris ; Kogan, Leonid.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:17975.

    Full description at Econpapers || Download paper

41. Convective Risk Flows in Commodity Futures Markets. (2012). Xiong, Wei ; Kirilenko, Andrei ; Cheng, Ing-Haw.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:17921.

    Full description at Econpapers || Download paper

42. The predictability of aggregate Japanese stock returns: Implications of dividend yield. (2012). Chen, Sichong.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:22:y:2012:i:1:p:284-304.

    Full description at Econpapers || Download paper

43. Spontaneous symmetry breaking of arbitrage. (2012). Choi, Jae Hyung.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:391:y:2012:i:11:p:3206-3218.

    Full description at Econpapers || Download paper

44. Estimating the cost of capital with basis assets. (2012). Brown, Stephen ; Wong, Woon Weng ; Lajbcygier, Paul.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:11:p:3071-3079.

    Full description at Econpapers || Download paper

45. Mutual fund flows, expected returns, and the real economy. (2012). Jank, Stephan.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:11:p:3060-3070.

    Full description at Econpapers || Download paper

46. Heterogeneity in stock prices: A STAR model with multivariate transition function. (2012). Lof, Matthijs.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:36:y:2012:i:12:p:1845-1854.

    Full description at Econpapers || Download paper

47. Risk Premium, Variance Premium and the Maturity Structure of Uncertainty. (2012). Taamouti, Abderrahim ; Fontaine, Jean-Sebastien ; Feunou, Bruno ; Tedongap, Romeo.
    In: Staff Working Papers.
    RePEc:bca:bocawp:12-11.

    Full description at Econpapers || Download paper

48. Stock Return and Cash Flow Predictability: The Role of Volatility Risk. (2012). Zhou, Hao ; Bollerslev, Tim ; Xu, Lai.
    In: CREATES Research Papers.
    RePEc:aah:create:2012-51.

    Full description at Econpapers || Download paper

49. Cyclicality, Performance Measurement, and Cash Flow Liquidity in Private Equity. (2011). Robinson, David ; Sensoy, Berk A..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:17428.

    Full description at Econpapers || Download paper

50. Risk premium, variance premium and the maturity structure of uncertainty. (2011). Taamouti, Abderrahim ; Fontaine, Jean-Sebastien ; Feunou, Bruno ; Tedongap, Romeo.
    In: UC3M Working papers. Economics.
    RePEc:cte:werepe:we1144.

    Full description at Econpapers || Download paper

Report date: 2025-09-16 03:22:08 || Missing content? Let us know