This paper exploits a data rich environment to provide direct econometric estimates of time-
varying macroeconomic uncertainty. Our estimates display significant independent …

This paper develops a theory of financing of entrepreneurial ventures via crypto tokens,
which is not limited to platform-based ventures. We compare token financing with traditional …

Identifying the factors that drive the cross-section of expected returns is challenging for at
least three reasons. First, the choice of testing approach (time series versus cross-sectional) …

An introduction to the theory and methods of empirical asset pricing, integrating classical
foundations with recent developments. This book offers a comprehensive advanced …

We propose an approach to measuring the state of the economy via textual analysis of
business news. From the full text of 800,000 Wall Street Journal articles for 1984 to 2017, we …

Abstract Motivated by McLean and Pontiff (2016), we study the pre-and post-publication
return predictability of 241 cross-sectional anomalies in 39 stock markets. We find, based on …

We propose an approach to measuring the state of the economy via textual analysis of
business news. From the full text content of 800,000 Wall Street Journal articles for 1984 …

This study investigates the relationships among information uncertainty, investor sentiment,
analyst reports, and stock returns in a unified framework. The effects of analyst reports on …

This paper constructs an estimator for the number of common factors in a setting where both
the sampling frequency and the number of variables increase. Empirically, we document that …

Monetary policy shocks have a large impact on stock returns in narrow windows around
press releases by the Federal Reserve. We use spatial autoregressions to decompose the …