General Finance
Measuring sentiment from financial news is a central task in economics and finance, yet most existing indicators rely on dictionary-based approaches that infer sentiment from word counts and only partially capture context, negation, and…
During the 1999-2019 U.S. housing cycle, three empirical facts present a puzzle: in the boom period, the correlation between income growth and mortgage growth is (1) negative across ZIP codes within a metropolitan area, but (2) positive…
Gateways are trading venues where regulation can change the assets investors can trade. We study this margin using MiCA-EU's Markets in Crypto-Assets Regulation-which led several exchanges to delist USDT pairs for European Economic Area…
Cryptoassets are increasingly entangled with the traditional financial system, and how this activity integrates into national economies and behaves under stress bears on financial stability and the design of public digital money. However,…
This paper examines about 200 published long-short anomaly equity portfolios (Chen and Zimmermann, 2022). Over the period through 2005 (December 2005 and earlier) and across all stocks, their median zero-investment return was an impressive…
This paper extends the cap-axis integral diagnostic to general characteristic axes and measures factor-model pricing errors as bridge-alpha curves. A predetermined characteristic order generates prefix portfolios; subtracting equal-exposure…
I propose a cap-axis integral diagnostic for factor-model evaluation. Low-dimensional factor models can improve the maximum-Sharpe frontier while leaving zero-alpha violations on economically fixed subspaces. The diagnostic studies one such…
Autonomous AI agents are beginning to occupy a position between analytical tools and transacting counterparties. They can interpret goals, call external tools, negotiate with other agents, access data and computation, and in some settings…
This paper investigates the Aggregate Confusion hypothesis (Berg, Kolbel, and Rigobon, 2022) at the firm level by measuring the Disclosure-Performance Gap (DPG), the standardised divergence between a firm's voluntary environmental…
We show that AI-driven investment strategies are inherently self-defeating at scale. As AI adoption rises, three mutually reinforcing channels -- signal crowding, performative signal erosion, and Red Queen competition -- compress excess…
This paper proposes a public daily-frequency benchmark for post-GFC government-bond CIP deviations. Although CIP deviations are observed daily, the literature lacks a canonical benchmark for daily regressions comparable to standard factor…
Put-call parity is a terminal-payoff identity, but its enforcement is capital-using. I study the carry gap, the annualized wedge between option-implied and OIS discount factors, in SPX and RUT index options. Quoted parity is tightly…
Put-call parity is risk-neutral at terminal payoff, but its enforcement is path-dependent and capital-using. I test whether the SPX and RUT carry gap is explained by OIS-based funding, volatility, trading-friction, and financial-condition…
Put-call parity is a terminal-payoff identity; quoted residuals against traded futures are near zero. Yet enforcing parity is path-dependent, exposing arbitrageurs to daily settlement, margin, and finite capital. Using minute-level NBBO…
This paper develops a model to evaluate the viability of blockchain markets as the sole venue for price formation. Blockchains clear at discrete intervals called block time, and transactions are executed sequentially according to priority…
This paper examines how the Shanghai-Hong Kong Stock Connect (SHHK Stock Connect) affects the A-H share price premium and whether the policy effect depends on pre-existing market efficiency. Using monthly data for 67 A-H dual-listed firms…
We conduct the first rigorous study of electricity price volatility for the full panel of electricity prices across three European generation zones. By interpreting the observed day-ahead prices as local averages of a latent price process…
We show that under mild assumptions, the total value of information to informed traders in the market can be measured by the covariance between price changes and order flow. This covariance captures noise trader losses, which equal informed…
This study investigates how cross-stock information diffusion, driven by both retail and institutional investors, influences excess comovement in the Chinese retail-dominated market and the U.S. institution-dominated market. Using data from…
The disposition effect describes investors' irrational behavior of selling profitable assets too soon while holding onto losing assets for too long. This study examines the impact of transparency at the firm level on the disposition effect…