Sole-authored

The CAPM is rejected empirically because market beta is only weakly related to average returns. I show that the model's performance depends on where institutional investors concentrate their attention, not how much attention they pay. Combining firm-specific news from the Dow Jones Newswire — filtered with a large language model to strip out market-wide content — with Bloomberg institutional attention data, I find that when attention is concentrated on public firm-specific news, beta prices the cross-section and the security market line is steep and positive, on roughly 46% of trading days, even though aggregate attention is below average. A noisy rational-expectations model rationalizes this: because firm-specific news is informationally orthogonal to the aggregate factor, attention to it crowds out factor learning, raising posterior factor uncertainty and the equilibrium risk premium, and steepening the SML.

Revise and resubmit: The Review of Asset Pricing Studies

Sole-authored

The empirical security market line is famously too flat: high-beta stocks earn far less than the CAPM predicts. I show that this flatness is tied to the information environment. When aggregate idiosyncratic news intensity is low, the cross-sectional relation between beta and average excess return is strongly positive and close to the theoretical benchmark (Panel B below); unconditionally, it nearly disappears (Panel A). Consistent with this, the estimated market premium comoves with idiosyncratic news intensity through time.

Presented at: FMA Asia/Pacific* · Alpine Finance Summit 2026* (poster) · Southern Finance Association 2026* · European Financial Management Association 2026 · French Finance Association 2026 · Future Finance Festival · Global Finance Conference 2026 · Financial Management and Accounting Research Conference 2026

* Scheduled

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With Alexander David

Text-based measures of attention to oil demand and supply in the financial press negatively predict crude oil futures returns over the following year, even as they lead analysts to revise price forecasts upward — the signature of belief overreaction. Using a two-stage large language model pipeline, we decompose the analytical content of the EIA's Short-Term Energy Outlook into the structural channels of Kilian (2009), isolating the precautionary, expectations-driven component of demand that the structural literature treats as unobservable. Aggregate demand and supply content is updated rationally — it moves forecasts and real quantities but leaves subsequent returns unaffected — whereas precautionary-demand content pushes forecasts up and future returns down, predicts returns out of sample, and is followed by net selling from speculators and reduced hedging by producers. Expectations about future scarcity, rather than realized demand or supply, drive the oil price movements that later reverse.

Presented at: 10th Commodity Markets Winter Workshop 2027*

* Scheduled

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