The impact of sentiment and attention measures on stock market volatility, 2020, International Journal of Forecasting, jointly with Francesco Audrino and Fabio Sigrist. [Paper]
Structural breaks in online investor sentiment: A note on the nonstationarity of financial chatter, 2020, Finance Research Letters, jointly with Simon Behrendt. [Paper]
How to Gauge Investor Behavior? A Comparison of Online Investor Sentiment Measures, 2021, Digital Finance, jointly with Simon Behrendt. [Paper]
When Does Attention Matter? The Effect of Investor Attention on Stock Market Volatility Around News Releases, 2022, International Review of Financial Analysis, jointly with Francesco Audrino and Fabio Sigrist. [Paper]
Retail investors’ trading activity and the predictability of stock return correlations, 2021. [Paper]
Je ne regrette rien? An Empirical Test of Regret Theory and Stock Returns, 2021, jointly with Cédric Müller. [Paper]
From Chatter to Action: An Index of Sustainability Sentiment, 2021, jointly with Ola Mahmoud. [Paper]
Semiparametric inference for impulse response functions using double/debiased machine learning, 2024, jointly with Alexander Wehrli. [Paper]
Improving the Finite Sample Performance of Double/Debiased Machine Learning with Propensity Score Calibration, 2024, jointly with Nora Bearth. [Paper] [Code]
FX Sentiment Analysis with Large Language Models, 2025, jointly with Jessica Gentner-Maly. [Paper]
Projects & Funding
WWZ Förderverein Project Sustainable Finance and Investor Sentiment (2021).
Swiss National Science Foundation Project Sentiment Analysis and Bayesian Model Averaging for Volatility Prediction (2017-2020).
SentiVol: a webpage for making daily volatility forecasts based on investor attention, jointly with Francesco Audrino and Fabio Sigrist.
