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Language tone in financial news media and the cross-section of stock returns
Bask, Mikael; Forsberg, Lars; Östling, Andreas - 2020
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
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Sampling frequency and window length trade-offs in data-driven volatility estimation : appraising the accuracy of asymptotic approximations
Andreou, Elena; Ghysels, Eric - 2006
Persistent link: https://www.econbiz.de/10003331375
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Price momentum in stocks : insights from Victorian age data
Chabot, Benjamin; Ghysels, Eric; Jagannathan, Ravi - 2008
Persistent link: https://www.econbiz.de/10003791258
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The econometrics of option pricing
Garcia, René; Ghysels, Eric; Renault, Eric - 2010
Persistent link: https://www.econbiz.de/10003900680
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Ex ante skewness and expected stock returns
Conrad, Jennifer S.; Dittmar, Robert F.; Ghysels, Eric - In: The journal of finance : the journal of the American … 68 (2013) 1, pp. 85-124
Persistent link: https://www.econbiz.de/10009719760
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A high frequency assessment of the ECB Securities Markets Programme
Ghysels, Eric; Idier, Julien; Manganelli, Simone; … - 2013
Persistent link: https://www.econbiz.de/10010243713
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A high frequency assessment of the ECB Securities Markets Programme
Ghysels, Eric; Idier, Julien; Manganelli, Simone; … - 2014
Persistent link: https://www.econbiz.de/10010380070
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Stock market volatility and macroeconomic fundamentals
Engle, Robert F.; Ghysels, Eric; Sohn, Bumjean - In: The review of economics and statistics 95 (2013) 3, pp. 776-797
Persistent link: https://www.econbiz.de/10009793016
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Price discovery without trading : evidence from the Nasdaq preopening
Cao, Charles Q.; Ghysels, Eric; Hatheway, Frank - In: The journal of finance : the journal of the American … 55 (2000) 3, pp. 1339-1365
Persistent link: https://www.econbiz.de/10001497604
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Causality between returns and traded volumes
Ghysels, Eric; Gouriéroux, Christian; Jasiak, Joann - In: Annales d'économie et de statistique (2000), pp. 189-206
Persistent link: https://www.econbiz.de/10001543508