Research & Analysis

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July 2024 Update

July 1, 2024 — June of 2024 was a good month for financial markets. Leading the pack were (again) technology stocks, with the NASDAQ up

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June 2024 Update

June 2, 2024 — After a weak April, markets bounced back in May, with the S&P 500 staging a breathtaking rally in the final few

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May 2024 Update

May 3, 2024 — From the end of March until the end of April, the market had a serious rethink about the path of monetary

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April 2024 Update

April 3, 2024 — As hints of spring emerged in an unseasonably warm March, markets continued to rally, with the S&P 500 up over 3%.

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March 2024 Update

March 3, 2024 — February was an interesting month in financial markets. Nvidia stock continued its incredible run on the back of a huge earnings

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February 2024 Update

February 4, 2024 — Markets continued their strong performance in January of 2024, though it was hard to live up to the incredible returns of

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January 2024 Update

January 1, 2024 — December 2023 saw a continuation of November’s rally, though the December winners tended to be the year’s laggards. For example, long-term

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December 2023 Update

December 4, 2023 — November of 2023 was significant for us on two levels. First, it was a very strong month for financial markets. Outside

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November 2023 Update

November 3, 2023 — October 2023 was a weak month for financial markets, with bonds, stocks, and commodities all down. Though interest rates continued to

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Academic Papers

Journal of Financial and Quantitative Analysis

Does Unusual News Forecast Market Stress?

An increase in “unusual” news with negative sentiment predicts an increase in stock market volatility. Unusual positive news forecasts lower volatility. Our analysis is based on over 360,000 articles on 50 large financial companies, published during the period of 1996–2014…

Journal of Financial Economics

Risk and returns around the world

We develop a classification methodology for the context and content of news articles to predict risk and return in stock markets in 51 developed and emerging economies. A parsimonious summary of news, including topic-specific sentiment, frequency, and unusualness (entropy) of word flow…

Proceedings of ACM International Conference on AI in Finance

Choosing News Topics to Explain Stock Market Returns

We analyze methods for selecting topics in news articles to explain stock returns. We find, through empirical and theoretical results, that supervised Latent Dirichlet Allocation (sLDA) implemented through Gibbs sampling in a stochastic EM algorithm will often overfit returns to the detriment…

Cato Journal

How Natural Language Processing Will Improve Central Bank Accountability

In the movie “True Lies,” Arnold Schwarzenegger plays the role of a skilled spy. In one scene, he is injected with truth serum in preparation for interrogation. Under the influence of the truth serum, he reveals how he plans to kill his captors and escape and then applies his skills and weapons…

Review of Asset Pricing Studies

Investor Information Choice with Macro and Micro Information

We develop a model of information and portfolio choice in which ex ante identical investors choose to specialize because of fixed attention costs required in learning about securities. Without this friction, investors would invest in all securities and would be indifferent across a wide range of information choices…

Management Science (revise/resubmit)

Dynamic Information Regimes in Financial Markets

We develop a model of investor information choices and asset prices where the availability of information about fundamentals is time-varying. A competitive research sector produces more information when more investors are willing to pay for that research…

Journal of Finance

Foundations of technical analysis

Technical analysis, also known as charting,’ has been part of financial practice for many decades, but this discipline has not received the same level of academic scrutiny and acceptance as more traditional approaches such as fundamental analysis. One of the main obstacles is the highly subjective nature of technical analysis…

Columbia Business School Working Paper

Time Variation in the News-Returns Relationship

The well-documented underreaction of stock prices to news exhibits substantial time variation. We show that higher risk-bearing capacity of financial intermediaries, lower passive ownership of stocks, and greater informativeness of news increase price responses to contemporaneous news…

Columbia Business School Working Paper

Predicting the Oil Market

We study the performance of many traditional and novel, text-based variables for in-sample and out-of-sample forecasting of oil spot, futures, and energy company stock returns, and changes in oil volatility, production, and inventories. After controlling for small-sample biases, we find evidence of in-sample predictability…

Columbia Business School Working Paper

News and Markets in the Time of COVID-19

The initial phase of the COVID-19 pandemic was characterized by voluminous, highly negative news coverage. Markets overreacted to uninformative news, and reacted more to news during high volatility periods. News coverage responded to lagged market activity, and causally impacted contemporaneous returns…

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