Files
Abstract
This dissertation includes two chapters on empirical asset pricing. In the first chapter, I study how data from different social media platforms may have different market implications. Using data from investing-related chat rooms, I find that social media group investing can help investors find high alpha stocks and are more informative than individual posts and comments in asynchronous investing forums. The second chapter examines various aspects of the sensitivity of the risk-neutral excess stock variance attempting to explain expected returns to reasonable alterations in the empirical design. The results reveal substantial time-series and cross-sectional variations in the predictive relation between risk-neutral variance and future stock returns.