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A Modern Take on Market Efficiency: The Impact of Trump’s Tweets on Financial Markets
(2021-05-06)
We focus on the role of social media as a high-frequency, unfiltered mass information transmission channel and how its use for government communication affects the aggregate stock markets. To measure this effect, we ...
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 ...
The salience of ESG ratings for stock pricing: Evidence from (potentially) confused investors
(2021-10-08)
We exploit a modification to Sustainalytics' environmental, social, and governance (ESG) rating methodology, which is subsequently adopted by Morningstar, to study whether ESG ratings are salient for stock pricing. We show ...
Impact of public news sentiment on stock market index return and volatility
(2021-10-11)
Recent advances in natural language processing have contributed to the development of market sentiment measures through text content analysis in news providers and social media. The effectiveness of these sentiment variables ...
OTC Discount
(2021-10-08)
We document a sizable OTC discount in the interdealer market for German sovereign bonds where exchange and over-the-counter trading coexist: the vast majority of OTC prices are favorable compared to exchange quotes. This ...
Market impact of government communication: The case of presidential tweets
(2021-10-06)
"We propose the ""President reacts to news"" channel of stock returns by studying the financial market impact of the Twitter account of the 45th president of the United States, Donald Trump. We use machine learning algorithms ...