68 citations · 168 across the 11 of their papers we have counts for
11 papers
Fast and Furious: A High-Frequency Analysis of Robinhood Users' Trading Behavior
David Ardia, Clément Aymard, Tolga Cenesizoglu
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…
Linking Frequentist and Bayesian Change-Point Methods
David Ardia, Arnaud Dufays, Carlos Ordas Criado
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 m…
The Role of Twitter in Cryptocurrency Pump-and-Dumps
David Ardia, Keven Bluteau
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 eff…
Factor Exposure Heterogeneity in Green and Brown Stocks
David Ardia, Keven Bluteau, Gabriel Lortie-Cloutier +1
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 thei…
How easy is it for investment managers to deploy their talent in green and brown stocks?
David Ardia, Keven Bluteau, Thien Duy Tran
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…
Thirty Years of Academic Finance
David Ardia, Keven Bluteau, Mohammad Abbas Meghani
We study how the financial literature has evolved in scale, research team composition, and article topicality across 32 finance-focused academic journals from 1992 to 2021. We docu…
The R package sentometrics to compute, aggregate and predict with textual sentiment
David Ardia, Keven Bluteau, Samuel Borms +1
We provide a hands-on introduction to optimized textual sentiment indexation using the R package sentometrics. Textual sentiment analysis is increasingly used to unlock the potenti…
Media abnormal tone, earnings announcements, and the stock market
David Ardia, Keven Bluteau, Kris Boudt
We conduct a tone-based event study to examine the aggregate abnormal tone dynamics in media articles around earnings announcements. We test whether they convey incremental informa…
A Century of Economic Policy Uncertainty Through the French-Canadian Lens
David Ardia, Keven Bluteau, Alaa Kassem
A novel token-distance-based triple approach is proposed for identifying EPU mentions in textual documents. The method is applied to a corpus of French-language news to construct a…
Value-at-Risk Prediction in R with the GAS Package
David Ardia, Kris Boudt, Leopoldo Catania
GAS models have been recently proposed in time-series econometrics as valuable tools for signal extraction and prediction. This paper details how financial risk managers can use GA…
Generalized Autoregressive Score Models in R: The GAS Package
David Ardia, Kris Boudt, Leopoldo Catania
This paper presents the R package GAS for the analysis of time series under the Generalized Autoregressive Score (GAS) framework of Creal et al. (2013) and Harvey (2013). The disti…