Showing 1 - 10 of 155,594
I show that news editors have state-dependent preference for different types of firms. Using the New York Times data and natural language processing techniques, I estimate the loadings of media coverage on eight common features of firms and construct the corresponding editor preference. I find...
Persistent link: https://www.econbiz.de/10013238535
We examine the relationship between the tonality of news flow and the cross section of expected stock returns. We use a comprehensive definition of media coverage that includes both financial newspapers and mass media, represented by TV broadcasts. Using the total news flow with positive and...
Persistent link: https://www.econbiz.de/10012841196
We investigate the impact of financial news on equity returns and introduce a non-parametric model to generate a sentiment signal, which is then used as a predictor for short-term, single-stock equity return forecasts.We build on Google's BERT model (for Bidirectional Encoder Representations for...
Persistent link: https://www.econbiz.de/10013309027
Based on 58,256 news articles published in the Financial Times during a 15-year period that cover companies in the DJIA, we find that a trading strategy that longs stocks with the most negative news and shorts stocks with the least negative news is not profitable. Consistent with this result, we...
Persistent link: https://www.econbiz.de/10012207268
We analyze short-term reversal and medium-term momentum patterns in weekly stock returns in Europe. Focusing on raw and on stock-specific returns, our empirical results show for both return specifications i) a negative relation between weekly past returns and future returns in the short run and...
Persistent link: https://www.econbiz.de/10012937537
In this study, we test a set of country macro sentiment indexes that measure the trailing sentiment on both scheduled and unscheduled economic and geopolitical news events. We develop a cross-over strategy in the FX market based on short to long-term news sentiment inflection points covering the...
Persistent link: https://www.econbiz.de/10013081446
We provide evidence for a causal link between the US economy and the global financial cycle. Using a unique intraday dataset, we show that US macroeconomic news releases have large and significant effects on global risky asset prices. Stock price indexes of 27 countries, commodity prices, and...
Persistent link: https://www.econbiz.de/10012839136
We provide evidence for a causal link between the US economy and the global financial cycle. Using intraday data, we show that US macroeconomic news releases have large and significant effects on global risky asset prices. Stock price indexes of 27 countries, the VIX, and commodity prices all...
Persistent link: https://www.econbiz.de/10014350777
This study investigates the presence of intraday patterns in the eleven sectors of the United States (U.S.) economy. Key contributions are in terms of assessing (i) risk and return patterns at specific time periods of the trading session on the New York Stock Exchange (NYSE), (ii) whether a...
Persistent link: https://www.econbiz.de/10013231110
This paper tests the performance of the Capital Asset Pricing Model (CAPM) and the Fama-French three-factor and Carhart four-factor models on the Polish market. We use stock level data from April 2001 to January 2014 and find strong evidence for value and momentum effects, but only weak evidence...
Persistent link: https://www.econbiz.de/10012026674