Boston, MA 02163
Harvard Business School
Retail Investors; Momentum; Earnings Surprises
trade policy, uncertainty, stock returns, risk premium
Passive Ownership, ETFs, Market Efficiency
re-pricing options, forecasting volatility, seemingly unrelated regression, implied volatility
stock market jumps, policy news, market clarity, market volatility, uncertainty, newspapers, human classification
factor models, global risk, momentum, exposure
customer base, customers, transaction data, customer churn
Indexing, Passive Investing, Exchange-Traded Funds (ETFs), Russell Reconstitution Day, Trading Volume, Information-Based Asset Pricing
Asset Pricing, Information Choice
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