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Does Unusual News Forecast Market Stress?
16 references·8 citing·41 second hop
Does Unusual News Forecast Market Stress? (2015)Does Unusual News Forecast Market Stress?Textual Analysis in Accounting and Finance: A Survey (2016)Textual Analysis in Accountin…Measuring Economic Policy Uncertainty* (2016)Measuring Economic Policy Unc…A five-factor asset pricing model (2014)A five-factor asset pricing m…When Is a Liability Not a Liability? Textual Analysis, Dictionaries, and 10‐Ks (2011)When Is a Liability Not a Lia…Media Coverage and the Cross‐section of Stock Returns (2009)Media Coverage and the Cross‐…Investor Inattention and Friday Earnings Announcements (2009)Investor Inattention and Frid…Expected Stock Returns and Variance Risk Premia (2009)Expected Stock Returns and Va…More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)More Than Words: Quantifying …Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Predicting Excess Stock Retur…Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Giving Content to Investor Se…All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)All That Glitters: The Effect…A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comprehensive Look at The E…Implications of rational inattention (2003)Implications of rational inat…Investor Psychology and Asset Pricing (2001)Investor Psychology and Asset…Dividend yields and expected stock returns (1988)Dividend yields and expected …Biases in Dynamic Models with Fixed Effects (1981)Biases in Dynamic Models with…Not all words are equal: Sentiment and jumps in the cryptocurrency market (2024)Not all words are equal: Sent…More attention and better volatility forecast accuracy: How does war attention affect stock volatility predictability? (2023)More attention and better vol…A sentiment analysis approach to the prediction of market volatility (2022)A sentiment analysis approach…Detecting stock market manipulation via machine learning: Evidence from China Securities Regulatory Commission punishment cases (2021)Detecting stock market manipu…A Green Wave in Media, a Change of Tack in Stock Markets (2021)A Green Wave in Media, a Chan…News and Idiosyncratic Volatility: The Public Information Processing Hypothesis* (2020)News and Idiosyncratic Volati…Forecasting the Equity Premium: Mind the News! (2020)Forecasting the Equity Premiu…The time horizon of price responses to quantitative easing (2018)The time horizon of price res…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)The Econometrics of Financial Markets (1997)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)The Econometrics of Financial Markets (2012)Expectations of Returns and Expected Returns (2014)Empirical Asset Pricing via Machine Learning (2020)Some International Evidence on Output-Inflation Tradeoffs. (1973)An Economic Theory of Self-Control (1977)Golden Eggs and Hyperbolic Discounting (1997)Sticky Information versus Sticky Prices: A Proposal to Replace the New Keynesian Phillips Curve (2002)Were There Regime Switches in U.S. Monetary Policy? (2006)In Search of Attention (2011)The General Theory of Employment, Interest and Money. (1936)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Comparing Predictive Accuracy (1994)Presidential Address: Discount Rates (2011)Risk, Return, and Equilibrium: Empirical Tests (1973)Common risk factors in the returns on stocks and bonds (1993)Disappearing dividends: changing firm characteristics or lower propensity to pay? (2001)Text as Data: The Promise and Pitfalls of Automatic Content Analysis Methods for Political Texts (2013)Prospect theory: An analysis of decision under risk (1988)On Persistence in Mutual Fund Performance (1997)Who Gambles in the Stock Market? (2009)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)The Role of Monetary Policy (1995)The Impact of Uncertainty Shocks (2009)Measuring Uncertainty (2015)COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach (2020)The Unprecedented Stock Market Reaction to COVID-19 (2020)Measuring Geopolitical Risk (2022)Editor's Choice Digesting Anomalies: An Investment ApproachCAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Do Shareholders Benefit from Green Bonds? (2018)Initial conditions and moment restrictions in dynamic panel data models (1995)Initial conditions and moment restrictions in dynamic panel data models (1998)How to do Xtabond2: An Introduction to Difference and System GMM in Stata (2009)
this work references cited by second hop

References

  • 2016Measuring Economic Policy Uncertainty*12,311 cited
  • 1981Biases in Dynamic Models with Fixed Effects8,724 cited
  • 2014A five-factor asset pricing model7,841 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
  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • 2003Implications of rational inattention3,869 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 2007Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?2,916 cited
  • 2001Investor Psychology and Asset Pricing2,429 cited
  • 2008More Than Words: Quantifying Language to Measure Firms' Fundamentals2,310 cited
  • 2016Textual Analysis in Accounting and Finance: A Survey2,279 cited
  • 2009Media Coverage and the Cross‐section of Stock Returns1,967 cited
  • 2009Expected Stock Returns and Variance Risk Premia1,776 cited

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  • 2009Investor Inattention and Friday Earnings Announcements1,740 cited
  • Cited by

    • 2022A sentiment analysis approach to the prediction of market volatility75 cited
    • 2023More attention and better volatility forecast accuracy: How does war attention affect stock volatility predictability?66 cited
    • 2021Detecting stock market manipulation via machine learning: Evidence from China Securities Regulatory Commission punishment cases52 cited
    • 2020Forecasting the Equity Premium: Mind the News!46 cited
    • 2018The time horizon of price responses to quantitative easing37 cited
    • 2024Not all words are equal: Sentiment and jumps in the cryptocurrency market34 cited
    • 2020News and Idiosyncratic Volatility: The Public Information Processing Hypothesis*32 cited
    • 2021A Green Wave in Media, a Change of Tack in Stock Markets24 cited