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The Disposition Effect in Boom and Bust Markets
(2021-02-05)
The disposition effect is implicitly assumed to be constant over time. However, drivers of the disposition effect (preferences and beliefs) are rather countercyclical. We use individual investor trading data covering several ...
The Power of ESG Ratings on Stock Markets
(2021-03-10)
This paper studies the impact of environmental, social, and governance (ESG) ratings on investors’ preferences and stock prices. We exploit a change in ESG rating methodology that non-linearly shifted ESG ratings for firms ...
MSCI ESG
MSCI ESG Ratings aim to measure a company’s resilience to long-term, financially relevant ESG risks.
Compustat
Compustat (from Standard & Poor's) provides annual and quarterly income statements, balance sheets, statements and supplemental data on North American public companies.
Robintrack
Robintrack provides intra-day information on the number of investors (especially Robinhood users) holding a given stock.
Morningstar Inc.
Morningstar, Inc. operates as an investment information and services company providing data, research, and analysis of mutual funds, stocks, and variable annuities. The Company publishes a line of print, software, and ...
Kenneth French
The Fama-French Portfolios are constructed from the intersections of two portfolios formed on size, as measured by market equity (ME), and three portfolios using the ratio of book equity to market equity (BE/ME) as a proxy ...
FRED
Federal Reserve Economic Data (FRED) is a database maintained by the Research division of the Federal Reserve Bank of St. Louisthat has more than 500,000 economic time series from 87 sources. The data can be viewed in ...
DHS
The DNB Household Survey (DHS) offers a unique collection of data that allows the study of both psychological and economic aspects of financial behavior; a panel study among 2000 households that has been active since 1993. ...