Natural language processing (NLP), or the pragmatic research perspective of computational
linguistics, has become increasingly powerful due to data availability and various …

Purpose This paper participates in the debate on market efficiency and correct approach for
asset pricing through a comprehensive review of literature in favor, as well as against the …

SEQUELS ARE RARELY AS good as the originals, so I approach this review of the market
efflciency literature with trepidation. The task is thornier than it was 20 years ago, when work …

Financial press reports claim that Internet stock message boards can move markets. We
study the effect of more than 1.5 million messages posted on Yahoo! Finance and Raging …

A model of trading in speculative markets is developed based on differences of opinion
among traders. Our purpose is to explain some of the empirical regularities that have been …

Previous studies of liquidity span short time periods and focus on the individual security. In
contrast, we study aggregate market spreads, depths, and trading activity for US equities …

In this paper I find that aggregate security returns are highly correlated with concurrent
unexpected cash flows into mutual funds, but unrelated to concurrent expected flows. An …

We explore the sharp uptrend in recent trading activity and accompanying changes in
market efficiency. Higher turnover has been associated with more frequent smaller trades …

We study the relation between the number of news announcements reported daily by Dow
Jones & Company and aggregate measures of securities market activity including trading …

We have all struggled through the day after a poor night's sleep, weighed down by
weariness, fighting lethargy, and perhaps even facing despondency. Fortunately, few people …