This work aims to investigate the (inter)relations of information arrival, news sentiment, volatility and jump dynamics of intraday returns. Two parametric GARCHtype jump models which explicitly incorporate both news arrival and news sentiment variables are proposed, among which one assumes news...

This work quantifies the financial and macroeconomic effects of the most significant Brexit events from 23 June 2016 up to 31 December 2019 for fifteen economies. The study uses high-frequency data and shows that following the referendum outcome, overall the 10-year government bond yield of the...

We retrieve news stories and earnings announcements of the S&P 100 constituents from two professional news providers, along with ten macroeconomic indicators. We also gather data from Google Trends about these firms’ assets as an index of retail investors’ attention. Thus, we create an...

We find that a small set of financial columnists has a causal effect on short-term aggregate stock market prices. For some journalists ("bulls") the market reaction is consistently positive, whereas for others ("bears") it is negative. Because bulls and bears are rotated exogenously in our...

This paper investigates the short- and long-term impacts of the Federal Reserve’s large-scale asset purchases (LSAPs) on the capital structure of U.S. non-financial firms. To isolate the effects of LSAPs from the impact of concurrent macroeconomic conditions, we exploit cross-industry...

This paper examines how different categories of COVID–19 news sentiment differentially impact the behavior of cryptocurrency returns. A nonlinear technique of transfer entropy is applied to investigate the relationship between the top 30 cryptocurrencies by market capitalization and COVID–19...