Ho, Kin-Yip; Shi, Yanlin; Zhang, Zhaoyong - In: The North American Journal of Economics and Finance 26 (2013) C, pp. 436-456
This paper examines the dynamic relationship between firm-level return volatility and public news sentiment. By using … stocks, our results confirm the significant impact of firm-specific news sentiment on intraday volatility persistence, even … after controlling for the potential effects of macroeconomic news. Compared with macroeconomic news sentiment, firm …