G14 - Information and Market Efficiency; Event Studies
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Text Mining and the Information Content of Bank of Canada Communications
This paper uses Latent Semantic Analysis to extract information from Bank of Canada communication statements and investigates what type of information affects returns and volatility in short-term as well as long-term interest rate markets over the 2002-2008 period. -
Idiosyncratic Coskewness and Equity Return Anomalies
In this paper, we show that in a model where investors have heterogeneous preferences, the expected return of risky assets depends on the idiosyncratic coskewness beta, which measures the co-movement of the individual stock variance and the market return.