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We connect measures of public opinion measured from polls with sentiment measured from text. We analyze several surveys on consumer confidence and political opinion over the 2008 to 2009 period, and find they correlate to sentiment word frequencies in contempora-neous Twitter messages. While our results vary across datasets, in several cases the(More)
We provide an axiomatic model of preferences over atemporal risks that generalizes Gul's disappointment aversion model by allowing risk aversion to be " first order " at locations in the state space that do not correspond to certainty. Since the lotteries being valued by an agent in an asset-pricing context are not typically local to certainty, our(More)
We present a theory of excess stock market volatility, in which market movements are due to trades by very large institutional investors in relatively illiquid markets. Such trades generate significant spikes in returns and volume, even in the absence of important news about fundamentals. We derive the optimal trading behavior of these investors, which(More)
We address a text regression problem: given a piece of text, predict a real-world continuous quantity associated with the text's meaning. In this work, the text is an SEC-mandated financial report published annually by a publicly-traded company, and the quantity to be predicted is volatility of stock returns, an empirical measure of financial risk. We apply(More)
We develop an equilibrium model of the term structure of forward prices for stor-able commodities. As a consequence of a nonnegativity constraint on inventory, the spot commodity has an embedded timing option that is absent in forward contracts. This option's value changes over time due to both endogenous inventory and exogenous transitory shocks to supply(More)
NEWS EVENTS, INFORMATION ACQUISITION, AND SERIAL CORRELATION Prior research ¯nds that momentum strategies (buying past losers and selling past winners) generate abnormal returns over medium-term (3-to 12-month) horizons. The Fama and French factors are unable to account for this e®ect, though they account for long-term reversals in asset returns. We develop(More)
We provide a user's guide to " exotic " preferences: nonlinear time aggregators, departures from expected utility, preferences over time with known and unknown probabilities, risk-sensitive and robust control, " hyperbolic " discounting, and preferences over sets (" temptations "). We apply each to a number of classic issues in macroeconomics and finance,(More)
We derive and test q-theory implications for cross-sectional stock returns. Under constant returns to scale, stock returns equal levered investment returns, which are tied directly to firm characteristics. When we use generalized method of moments to match average levered investment returns to average observed stock returns, the model captures the average(More)
for useful discussions. We are also grateful for comments from Abstract Our objective is to identify the trading strategy that would allow an investor to take advantage of " excessive " stock price volatility and " sentiment " fluctuations. We construct a general-equilibrium model of sentiment. In it, there are two classes of agents and stock prices are(More)
Extreme market outcomes are often followed by a lack of liquidity and a lack of trade. This market collapse seems particularly acute for markets where traders rely heavily on a specific empirical model such as in derivative markets like the market for mortgage backed securities or credit derivatives. Moreover, the observed behavior of traders and(More)