Risk Factors That Matter: Textual Analysis of Risk Disclosures for the Cross-Section of Returns

Working Papers

What are the fundamental risks in the economy? Which risks are systematic? Which risks are priced? Are the risks summarized well by existing models? I use machine learning to identify the risks that firms face based on their annual reports. Read More

Being Innovative Pays Off, But When?

Funded Research Proposal

The research objective is to determine how quickly product innovation translates into higher stock market valuations. The novelty in the research approach is using online consumer reviews on websites including Amazon, eBay; combined with stock market data.Read More