Given the increasing interest in investor sentiment derived from social media platforms, we address one overlooked question - are there structural breaks in online investor sentiment? We cast the problem of break-point estimation in the dynamics of the sentiment series as a model selection...

The first paper investigates the predictive power of investors' sentiment and attention for the stock returns' volatility. We introduce a novel and extensive dataset that combines information from social media platforms, news articles, search engine data, and information consumption. Applying a...