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Time-variation in the impact of news sentiment

Smales, Lee A. - In: International review of financial analysis 37 (2015), pp. 40-50

Persistent link: https://www.econbiz.de/10011316615

Effect of investor fear on Australian financial markets

Smales, Lee A. - In: Applied economics letters 24 (2017) 16, pp. 1148-1153

Persistent link: https://www.econbiz.de/10011852359

Examining the relationship between policy uncertainty and market uncertainty across the G7

Smales, Lee A. - In: International review of financial analysis 71 (2020), pp. 1-17

Persistent link: https://www.econbiz.de/10012436468

News sentiment and the investor fear gauge

Smales, Lee A. - In: Finance research letters 11 (2014) 2, pp. 122-130

Persistent link: https://www.econbiz.de/10010441203

Spreading the fear : the central role of CBOE VIX in global stock market uncertainty

Smales, Lee A. - In: Global finance journal 51 (2022), pp. 1-17

Persistent link: https://www.econbiz.de/10013431588

Hedging geopolitical risk with precious metals

Baur, Dirk G.; Smales, Lee A. - In: Journal of banking & finance 117 (2020), pp. 1-21

Persistent link: https://www.econbiz.de/10012495753

Time-variation in the impact of news sentiment

Smales, Lee A. - In: International Review of Financial Analysis 37 (2015) C, pp. 40-50

Utilizing firm-specific news sentiment data provided by Thomson Reuters News Analytics, I construct aggregate measures to examine the relationship between news sentiment and stock market returns over the period 2004–2010. I find a highly significant relationship between aggregated measures of...

Persistent link: https://www.econbiz.de/10011191075

News sentiment and the investor fear gauge

Smales, Lee A. - In: Finance Research Letters 11 (2014) 2, pp. 122-130

This note examines the relationship between aggregate news sentiment and changes in the implied volatility index (VIX). A significant negative contemporaneous relationship between changes in VIX and news sentiment is discovered. The relationship is asymmetric whereby changes in VIX are larger...

Persistent link: https://www.econbiz.de/10010785423