This paper examines the impact of public news sentiment on volatility states of firm-level returns. We firstly propose a Markov regime switching fractionally integrated exponential GARCH (MRS-FIEGARCH) model, which is employed to estimate the latent volatility states of intraday stock return. By ...
I examine the relationship between aggregate news sentiment, S&P 500 index (SPX) returns, and changes in the implied volatility index (VIX). I find a significant negative contemporaneous relationship between changes in VIX and both news sentiment and stock returns. This relationship is asymmetric ...
Our results suggest that even when market factors are taken into account, sentiment scores have a significant effect on Dow Jones constituent company returns and that lagged daily sentiment scores are often significant, suggesting that information compounded in these scores is not immediately reflected ...
There is a negative association between news-based ESG sentiment and future stock price crash risk. 文章只有一个假设,从内容上看似乎有点少,因此,作者选择了大量的异质性分析来补充内容。这在构思自己的论文时候,也可以这样设计。 数据 To examine the relationship between news-based ESG sentiment and stock...
The first paper, Using Sentiment Surveys to Predict GDP Growth and Stock Returns sheds new light on the question of whether or not sentiment surveys, ... G Guzman - Columbia University. 被引量: 0发表: 2010年 Evaluating sentiment in financial news article Can the choice of words and tone us...
ESG News Sentiment and Stock Price Reactions: A Comprehensive Investigation via BERT Gregor Dorfleitner Rongxin Zhang Schmalenbach Journal of Business Research (2024) Global environmental equities and investor sentiment: the role of social media and Covid-19 pandemic crisis Vítor Manuel de Sousa...
Investigating the Impact of Media Sentiment and Investor Attention on Financial Markets Media sentiment has been shown to be related to stock returns. However, one prerequisite for this influence has not been taken into account yet: the questi... M Siering - International Workshop on Enterprise ...
Jumps News frequency Textual analysis News content Sentiment JEL classification G10 G14 G19 1. Introduction There is a long history of asset pricing theory that links the quantity and quality of information flows to changes in asset prices. For example, information that results in a resolution of...
The EUR/USD pair saw a rally on Tuesday, increasing by half a percent and surpassing 1.0500 as Fiber confronts a significant technical hurdle for the eighth consecutive day. US consumer sentiment fell in February, intensifying concerns about an economic slowdown. EUR/USD News GBP/USD continues ...
Gold prices edged higher on Tuesday as uncertainty over U.S. President Donald Trump's tariffs continued to dominate sentiment, reinforcing bullion's appeal as a safe-haven asset amid fears of a... Delaware bill would limit investor lawsuits as companies threaten to leave the state ...