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We uncover networks from news articles to study cross-sectional stock returns. By analyzing a huge dataset of more than … 1 million news articles collected from the internet, we construct time-varying directed networks of the S&P500 stocks …. The well-defined directed news networks are formed based on a modest assumption about firm-specific news structure, and we …
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stock markets networks. Both the short- and long-run connectedness significantly increased after the global financial crisis …
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We derive microscopic foundations for a well-known probabilistic herding model in the agent-based finance literature. Lo and behold, the model is quite robust with respect to behavioral heterogeneity, yet structural heterogeneity, in the sense of an underlying network structure that describes...
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