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We investigate the effect of Environmental, Social, and Governance (ESG) related news sentiment on the stock market performance of the Dow Jones Industrial Average (DJIA) constituents. Relying on a large data set of news articles that were published online or in print media between the years of...
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We apply a practical two-step procedure to test for nonlinear information in the stock price - trading volume relation. The approach draws upon the concept of transfer entropy and allows us to identify the dominant direction of the information transfer, which constitutes an improvement over...
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