Investor sentiment indicates how far an asset value deviates from its economic
fundamentals. In this article, we review various measures of investor sentiment based on …

This article presents a dynamic, rational expectations equilibrium model of asset prices
where the drift of fundamentals (dividends) shifts between two unobservable states at …

We estimate a dynamic asset pricing model characterized by heterogeneous boundedly
rational agents. The fundamental value of the risky asset is publicly available to all agents …

In this paper, we analyze the usefulness of technical analysis, specifically the widely
employed moving average trading rule from an asset allocation perspective. We show that …

Recently, several behavioral finance models based on the overconfidence hypothesis have
been proposed to explain anomalous findings, including a short-term continuation …

In the following paper, we seek to evaluate the predictive capabilities of internet search data.
While past studies have proposed using Google Trends as an effective proxy for investor …

This paper argues that the efficiency of the price-setting process in the stock market is
contingent on the coherence of a stock's position in the industry-based classificatory …

We classify a unique and comprehensive data set of corporate press releases into topics
and study the market reaction to various types of news. While confirming prior findings …

We study how media coverage impacts pricing of initial public offerings (IPOs) around the
world. Higher media coverage in the pre-IPO period leads to lower IPO initial returns. The …

We analyze theoretically and empirically the implications of information asymmetry for
equilibrium asset pricing and portfolio choice. In our partially revealing dynamic rational …