Forthcoming Articles

News and Markets in the Time of COVID-19

Harry Mamaysky ♦ The onset COVID-19 was characterized by voluminous, negative news. Higher narrativity news topics—measured by textual proximity to articles describing the 1987 stock market crash and textual distance from Federal Reserve communications—were systematically associated with contemporaneous market responses,…

Loss-Driven Activism

Marco Elia ♦ I show that hedge funds react to unrealized losses on their passive positions by engaging with the management. The hedge fund managers’ psychological response is consistent with cognitive dissonance: they blame the firms’ management and switch to…

Predictability Puzzles

Bjorn Eraker ♦ Dynamic equilibrium models based on present value computation imply that returns are predictable but also generate particular short-term patterns of predictability in asset returns. I take advantage of this to construct a set of tests of Equilibrium…