This study examines the impact of investor attention and analyst coverage on the diffusion of information. Using trading turnover as a proxy for investor attention, the results show that attention is crucial to the information diffusion from financial analysts. The effect of analyst coverage on...

We survey the textual sentiment literature, comparing and contrasting the various information sources, content analysis methods, and empirical models that have been used to date. We summarize the important and influential findings about how textual sentiment impacts on individual, firm-level and...

This study addresses the impact of equity market liquidity on Canadian economic growth and investigates how consumer attitudes/sentiments affect the dynamic macro-liquidity relationship. Using various market liquidity proxies (e.g., illiquidity ratio and open interest of equity futures) while...

Utilizing firm-specific news sentiment data provided by Thomson Reuters News Analytics, I construct aggregate measures to examine the relationship between news sentiment and stock market returns over the period 2004–2010. I find a highly significant relationship between aggregated measures of...

Corporate leverage among emerging market firms went up considerably after the 2007–09 Global Financial Crisis (GFC). We investigate how the increased emerging market corporate leverage in the post-GFC period (2010–15)impacted the underlying credit risk, compared to the pre-GFC (2002–2006)...

In this paper, we provide a framework to model and forecast daily volatility based on the newly proposed additive bias corrected extreme value volatility estimator (the Add RS estimator). The theoretical framework of the additive bias corrected extreme value volatility estimator is based on the...

This article provides empirical evidence on the determinants of multiple bank loan renegotiations in Europe over the last decade. It finds that renegotiations differ from those in the US in terms of frequency, amended terms, and first occurrence. Multiple renegotiations concern very large loans,...

We analyse the relationships between return calculation methods, risk and observation periods. We show that the mean of a return set calculated using logarithmic returns is less than the mean calculated using simple returns by an amount related to the variance of the set. This implies that there...

This paper examines return and volatility connectedness between Bitcoin, traditional financial assets (Crude Oil, Gold, Stocks, Bonds, and the United States Dollar-USD), and major global uncertainty measures (the Economic Policy Uncertainty-EPU, the Twitter-based Economic Uncertainty-TEU, and...

In this paper we investigate the short-term credit spread dynamics of quality US corporate bonds, building on the Longstaff and Schwartz (1995) two-factor model. We find that changes in credit spreads usually display a significant negative relationship with changes in both the risk-free short...