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Why Do Short Sellers Like Qualitative News?
16 references·0 citing·33 second hop
Why Do Short Sellers Like Qualitative News? (2017)Why Do Short Sellers Like Qualitative New…When Is a Liability Not a Liability? Textual Analysis, Dictionaries, and 10‐Ks (2011)When Is a Liability Not a Lia…The Causal Impact of Media in Financial Markets (2011)The Causal Impact of Media in…The Role of the Business Press as an Information Intermediary (2009)The Role of the Business Pres…Media Coverage and the Cross‐section of Stock Returns (2009)Media Coverage and the Cross‐…More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)More Than Words: Quantifying …Which Shorts Are Informed? (2007)Which Shorts Are Informed?Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Giving Content to Investor Se…Efficiency and the Bear: Short Sales and Markets Around the World (2007)Efficiency and the Bear: Shor…All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)All That Glitters: The Effect…Information Production and Capital Allocation: Decentralized versus Hierarchical Firms (2002)Information Production and Ca…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Breadth of ownership and stock returns (2002)Breadth of ownership and stoc…Trading Volume and Serial Correlation in Stock Returns (1993)Trading Volume and Serial Cor…A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Common risk factors in the returns on stocks and bonds (1993)Disappearing dividends: changing firm characteristics or lower propensity to pay? (2001)In Search of Attention (2011)Text as Data: The Promise and Pitfalls of Automatic Content Analysis Methods for Political Texts (2013)Textual Analysis in Accounting and Finance: A Survey (2016)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Measuring the Information Content of Stock Trades (1991)ARCH modeling in finance (1992)Editor's Choice Digesting Anomalies: An Investment ApproachThe Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)Prospect theory: An analysis of decision under risk (1988)Who Gambles in the Stock Market? (2009)The General Theory of Employment, Interest and Money. (1936)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Markets and Hierarchies: Analysis and Antitrust Implications. (1976)Discretionary disclosure (1983)Firms, Contracts, and Financial Structure (1995)Does Distance Still Matter? The Information Revolution in Small Business Lending (2002)Does function follow organizational form? Evidence from the lending practices of large and small banks (2005)A more complete conceptual framework for SME finance (2006)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)Wisdom of Crowds: The Value of Stock Opinions Transmitted Through Social Media (2014)… and the Cross-Section of Expected Returns (2015)
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References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 2011When Is a Liability Not a Liability? Textual Analysis, Dictionaries, and 10‐Ks6,003 cited
  • 2007Giving Content to Investor Sentiment: The Role of Media in the Stock Market4,822 cited
  • 2007All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors4,550 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 2002Information Production and Capital Allocation: Decentralized versus Hierarchical Firms2,426 cited
  • 2008More Than Words: Quantifying Language to Measure Firms' Fundamentals2,310 cited
  • 2009Media Coverage and the Cross‐section of Stock Returns1,967 cited
  • 1993Trading Volume and Serial Correlation in Stock Returns1,560 cited
  • 2002Breadth of ownership and stock returns1,175 cited
  • 2011The Causal Impact of Media in Financial Markets1,125 cited
  • 2009The Role of the Business Press as an Information Intermediary1,116 cited
  • 2007Which Shorts Are Informed?

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  • 2007Efficiency and the Bear: Short Sales and Markets Around the World821 cited
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