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News Sensitivity and the Cross - Section of Stock Returns · Study

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PreprintNews Sensitivity and the Cross - Section of Stock Returns

Michał Dzieliński2011

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Preprintgreen2011

News Sensitivity and the Cross - Section of Stock Returns

Michał Dzieliński

43 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Stock Market Forecasting Methods

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References

2008Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches 1987A Simple Model of Capital Market Equilibrium with Incomplete Information 2007Giving Content to Investor Sentiment: The Role of Media in the Stock Market 2006The Cross‐Section of Volatility and Expected Returns 2009Media Coverage and the Cross‐section of Stock Returns 2006INDIVIDUAL EQUITY RETURN DATA FROM THOMSON DATASTREAM: HANDLE WITH CARE!1994The Impact of Public Information on the Stock Market 2010Does Public Financial News Resolve Asymmetric Information?

Cited by

2018Does OPEC news sentiment influence stock returns of energy firms in the United States?2014Time-variation in the impact of news sentiment 2019News sentiment and sovereign credit risk 2017Stock Price Reaction to News: The Joint Effect of Tone and Attention on Momentum 2016Informativeness of the market news sentiment in the Taiwan stock market 2016

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2018Information, Trading, and Volatility: Evidence from Firm-Specific Newsarticle · 6 shared references 2020News and Idiosyncratic Volatility: The Public Information Processing Hypothesis*article · 6 shared references 2019News media analytics in finance: a surveyarticle · 6 shared references 2014The Long-Run Role of the Media: Evidence from Initial Public Offeringsarticle · 5 shared references 2019Media coverage and stock price synchronicityarticle · 5 shared references 2014Information Transmission in Financereview · 5 shared references

Details

Year2011

Typepreprint

Published2011-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations43

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.1889030

openalex_workW3124457659

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The Validity of Investor Sentiment Proxies

2016News sentiment and overshooting of exchange rates

2014Exploring Investors' Decision Making Processes During the 2008 Financial Crisis Using Epstein's Cognitive Experiential Self-Theory: A Multiple-case Study