The advent of massive amounts of textual, audio, and visual data has spurred the development of econometric methodology to transform qualitative sentiment data into quantitative sentiment variables, and to use those variables in an econometric analysis of the relationships between sentiment and...

NSE is an R package for computing the numerical standard error (NSE), an estimate of the standard deviation of a simulation result if the simulation experiment were to be repeated many times. The package provides a set of wrappers around several R packages, which give access to more than thirty...

A novel token-distance-based triple approach is proposed for identifying EPU mentions in textual documents. The method is applied to a corpus of French-language news to construct a century-long historical EPU index for the Canadian province of Quebec. The relevance of the index is shown in a...

We empirically test the prediction of Pastor, Stambaugh, and Taylor (2020) that green firms outperform brown firms when concerns about climate change increase unexpect- edly, using data for S&P 500 companies from January 2010 to June 2018. To capture unexpected increases in climate change...

We empirically test the prediction of Pastor, Stambaugh, and Taylor 2020 that green firms can outperform brown firms when climate change concerns strengthen unexpectedly for S&P 500 companies over the period January 2010 - June 2018. To capture unexpected increases in climate change concerns, we...