We investigate how transaction costs change the number of characteristics that are jointly
significant for an investor's optimal portfolio and, hence, how they change the dimension of …

Online consumer reviews are word-of-mouth exchanges on the Internet that can be
harnessed for decision support. Combining computational and experimental methods, the …

This paper quantifies the impact of stock-specific news sentiment on future financial returns.
Daily predictive regressions yield significant t-statistics for 7% at most of our sample of more …

Menu design is important to restaurateurs. Past studies show that menu design can be
effective in enhancing consumers' attitudes, behavioral intentions, and purchases. In the …

In a novel model mining experiment, we data mine hundreds of randomly constructed three-
factor models and find that many outperform well-known models from the literature, including …

We propose a novel firm-level measure of speculative trading (SPT) for the Chinese stock
market. Based on prior studies identifying differences of opinion as the dominant driver of …

We propose a theoretical framework that characterizes the diversity of outcomes in empirical
studies, depending on the nature and number of design choices that researchers make. We …

Abstract We consider Partial Least Squares (PLS) estimation of a time-series forecasting
model with the data containing a large number (T) of time series observations on each of a …

Are equity anomalies a product of p-hacking in the asset pricing literature? To shed new
light on this question, we perform a true out-of-sample study of 30 well-known anomalies in …

We analyze the significance of 51 asset pricing anomalies in Latin America. We examine
economic significance via portfolio simulations that dilute the effect of microcaps. To avoid …