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 the new RavenPack News Analytics – Dow Jones Edition database that captures over 1200 types of firm-specific and macroeconomic news releases and their sentiment scores at high...