commonality in dealers’ activity is a powerful driver of CDS comovements, over and above fundamental similarities between …

disregard the arrival of asset specific news (i.e., news which is directly relevant to the asset). In this paper we propose a … simple adaptation to the GARCH model to make the model aware of news. We propose that the content of news is important and … therefore describe a methodology to classify asset specific news based on the content. We present evidence from the US, UK and …

frequency effect of real time news, across a broad base of assets. This paper investigates how the US, UK, and Australian … markets incorporate all real time news, not just Press Announcements, Annual Reports, etc. We find that there is strong … evidence to suggest that the markets do incorporate news quickly. …

This paper analyzes the impact of news, oil prices, and international financial market developments on daily returns on … Russian bond and stock markets. First, regarding returns, energy news affects returns, while news from the war in Chechnya is … not significant. Market volatility does not appear to be sensitive to either type of news. Second, a significant effect of …

The first essay examines news and the cross section of returns. Using a sentiment score provided by Thomson Reuters to … measure the tone of news articles, this paper examines monthly portfolio returns constructed from information about past news … articles. The sentiment score is obtained from the kind of words and phrases that are used in the news article. Positive tone …