We show that an equity pairs trading strategy generates large and significant abnormal
returns. We find that two components of the trading signal (ie, short-term reversal and pairs …

We model firm-level, stock return covariances as a function of firm characteristics. Flexible
panel regressions allow us to estimate the marginal predictive power associated with …

This thesis investigates the effect of social media on asset prices. The three chapters in the
thesis each target one aspect of the social media effect. Chapter 1 and 2 look at social …