Bryan R. Routledge

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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 contemporaneous Twitter messages. While our results vary across datasets, in several cases the correlations(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 publiclytraded company, and the quantity to be predicted is volatility of stock returns, an empirical measure of financial risk. We apply(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 provide a user’s guide to “exotic” preferences: nonlinear time aggregators, departures from expected utility, preferences over time with known and unknown probabilities, risksensitive and robust control, “hyperbolic” discounting, and preferences over sets (“temptations”). We apply each to a number of classic problems in macroeconomics and finance,(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 consider the problem of predicting measurable responses to scientific articles based primarily on their text content. Specifically, we consider papers in two fields (economics and computational linguistics) and make predictions about downloads and within-community citations. Our approach is based on generalized linear models, allowing interpretability; a(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)
We investigate the dynamic portfolio problem of a market-maker for a derivative security whose preferences exhibit uncertainty aversion (Knightian uncertainty). The Choquet-expected utility implied by such preference is used to capture the feature that the trader is uncertain about which model should be used. The prices that emerge from the model are(More)