Extracting sentiment from text is a hard semantic problem. We develop a methodology for
extracting small investor sentiment from stock message boards. The algorithm comprises …

We investigate the informational efficiency of mutual fund performance for the period 1965–84.
Results are shown to be sensitive to the measurement of performance chosen. Wefind …

Consumer choice is influenced in a direct and meaningful way by the actions taken by
others. These “actions” range from face-to-face recommendations from a friend to the passive …

We test the doubly stochastic assumption under which firms' default times are correlated only
as implied by the correlation of factors determining their default intensities. Using data on …

Returns on international equities are characterized by jumps; moreover, these jumps tend to
occur at the same time across countries leading to systemic risk. We capture these stylized …

An extensive empirical literature in finance has documented not only the presence of anomalies
in the Black-Scholes model, but also the term structures of these anomalies (for instance…

That information surprises result in discontinuous interest rates is no surprise to participants
in the bond markets. We develop a class of Poisson–Gaussian models of the Fed Funds rate …

This paper develops a model for the pricing of credit-sensitive debt contracts. Over the past
two decades, the debt markets have seen a proliferation of contracts designed to reapportion …

We integrate appealing features of Markowitz’s mean-variance portfolio theory (MVT) and
Shefrin and Statman’s behavioral portfolio theory (BPT) into a new mental accounting (MA) …

Models of financial distress rely primarily on accounting-based information (eg [Altman, E.,
1968. Financial ratios, discriminant analysis and the prediction of corporate bankruptcy. …