David Ardia
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Twitter and cryptocurrency pump-and-dumps Open
We study the relation between the promotion of a cryptocurrency on Twitter and its return dynamics around pump-and-dump events. By analyzing abnormal returns, trading volume, and tweet activity, we uncover that Twitter effectively garners …
Optimal Text-Based Time-Series Indices Open
We propose an approach to construct text-based time-series indices in an optimal way--typically, indices that maximize the contemporaneous relation or the predictive performance with respect to a target variable, such as inflation. We illu…
SNSF100017-179281 Open
Set of textual indices developed in the SNSF project 100017-17928. (1) MCCC indices, File: Sentometrics_US_Media_Climate_Change_Index.xlsx; (2) U.S Topical Economic Sentiment indices, File: Sentometrics_US_Topical_Economic_Sentiment.csv; (…
Fast and Furious: A High-Frequency Analysis of Robinhood Users' Trading Behavior Open
We analyze Robinhood (RH) investors' trading reactions to intraday hourly and overnight price changes. Contrasting with recent studies focusing on daily behaviors, we find that RH users strongly favor big losers over big gainers. We also u…
The Role of Twitter in Cryptocurrency Pump-and-Dumps Open
We examine the influence of Twitter promotion on cryptocurrency pump-and-dump events. By analyzing abnormal returns, trading volume, and tweet activity, we uncover that Twitter effectively garners attention for pump-and-dump schemes, leadi…
Thirty years of academic finance Open
We study how the financial literature has evolved in scale, research team composition, and article topicality across finance‐focused academic journals from 1992 to 2021. We document that the field has vastly expanded regarding outlets and …
Factor Exposure Heterogeneity in Green and Brown Stocks Open
Using the peer-exposure ratio, we explore the factor exposure heterogeneity in green and brown stocks. By looking at peer groups of S&P 500 index firms over 2014-2020 based on their greenhouse gas emission levels, we find that, on average,…
Linking Frequentist and Bayesian Change-Point Methods Open
We show that the two-stage minimum description length (MDL) criterion widely used to estimate linear change-point (CP) models corresponds to the marginal likelihood of a Bayesian model with a specific class of prior distributions. This all…
Climate Change Concerns and the Performance of Green vs. Brown Stocks Open
We empirically test the prediction of Pástor et al. (2021) that green firms outperform brown firms when concerns about climate change increase unexpectedly, using data for S&P 500 companies from January 2010 to June 2018. To capture unexpe…
How easy is it for investment managers to deploy their talent in green and brown stocks? Open
We explore the realized alpha-performance heterogeneity in green and brown stocks' universes using the peer performance ratios of Ardia and Boudt (2018). Focusing on S&P 500 index firms over 2014-2020 and defining peer groups in terms of f…