Why Don't We Agree? Evidence from a Social Network of Investors
ABSTRACT We study sources of investor disagreement using sentiment of investors from a social media investing platform, combined with information on the users' investment approaches (e.g., technical,...
View ArticleOn Comparing Asset Pricing Models
ABSTRACT Revisiting the framework of Barillas and Shanken (2018), BS henceforth, we show that the Bayesian marginal likelihoodâbased model comparison method in that paper is unsound: the priors on...
View ArticleRobust Inference for Consumption�Based Asset Pricing
ABSTRACT The reliability of traditional asset pricing tests depends on: (1) the correlations between asset returns and factors; (2) the timeâseries sample size T compared to the number of assets N....
View ArticleInformed Trading and Intertemporal Substitution
ABSTRACT I examine the possibility of informationâbased trading in a multiperiod consumption setting. I develop a necessary and sufficient condition for trade to occur. Intertemporal substitution...
View ArticleWeekly idiosyncratic risk metrics and idiosyncratic momentum: Evidence from...
This paper focuses on the weekly idiosyncratic momentum (IMOM) as well as its risk-adjusted versions with respect to various idiosyncratic risk metrics. Using the A-share individual stocks in the...
View ArticleMoneyScience: Paul Tudor Jones - Trader Documentary 1987
Resource: Paul Tudor Jones - Trader Documentary 1987 https://t.co/PUvgEnx41M pic.twitter.com/EIWi3EY0Re â moneyscience (@moneyscience) October 30, 2019
View ArticleSubscribe to read | Financial Times
Some claim computers are getting better at finding profitable patterns in market data - Why hedge fund managers are happy to let the machines take over viaâ¦
View ArticleThe impact of enterprise risk management on the performance of companies in...
In this paper, seven hypotheses are defined, on the basis of which a theoretical model is developed to examine how different sources of enterprise risk affect the operational performance of Serbian...
View ArticleBacktesting expected shortfall: a simple recipe?
In this paper, the authors introduce a new ES backtesting framework based on the duality between coherent risk measures and scale-invariant performance measures.
View ArticleCrash risk exposure, diversification and cost of equity capital: evidence...
Based on a broad sample of Chinese listed firms for the period 2001â10, this study investigates the effect of stock price crash risk exposure n the cost of equity capital and uses the split share...
View ArticleSEC to Host Veterans Day Program for Active Duty Service Members and Veterans
The Securities and Exchange Commission will host a Veterans Day program on Tuesday, Nov. 12. The program will feature a conversation with SEC Chairman Jay Clayton and Colonel James Tuite of the U.S....
View ArticleSTS 013 – Jack Vogel: Market anomalies and quantitative approach to...
Podcast - Jack Vogel: Market anomalies and the quantitative approach to investing - https://t.co/GsaTvDdQZa â moneyscience (@moneyscience) October 30, 2019
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