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...

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...