News move markets and contains incremental information about stock reactions. Future trading volumes, volatility and returns are a ected by sentiments of texts and opinions expressed in articles. Earlier work of sentiment distillation of stock news suggests that risk prole reactions might differ...

This paper presents presents presents a fractionally cointegrated vector autoregression (FCVAR) (FCVAR) (FCVAR) (FCVAR) model to examine to examine to examine to examine to examine to examine to examine various relations between stock returns and downside risk. Evidence from major advanced...