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News Sensitivity and the Cross - Section of Stock Returns
13 references·8 citing·48 second hop
News Sensitivity and the Cross - Section of Stock Returns (2011)News Sensitivity and the Cross - Section …Does Beta Move with News? Firm-Specific Information Flows and Learning about Profitability (2012)Does Beta Move with News? Fir…Does Public Financial News Resolve Asymmetric Information? (2010)Does Public Financial News Re…Media Coverage and the Cross‐section of Stock Returns (2009)Media Coverage and the Cross‐…The Long‐Lasting Momentum in Weekly Returns (2008)The Long‐Lasting Momentum in …Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Estimating Standard Errors in…Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Giving Content to Investor Se…The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…INDIVIDUAL EQUITY RETURN DATA FROM THOMSON DATASTREAM: HANDLE WITH CARE! (2006)INDIVIDUAL EQUITY RETURN DATA…Do Stock Market Investors Understand the Risk Sentiment of Corporate Annual Reports? (2006)Do Stock Market Investors Und…Beyond the Numbers: An Analysis of Optimistic and Pessimistic Language in Earnings Press Releases (2006)Beyond the Numbers: An Analys…The Impact of Public Information on the Stock Market (1994)The Impact of Public Informat…Attributes of News about Firms: An Analysis of Firm-Specific News Reported in the Wall Street Journal Index (1987)Attributes of News about Firm…A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)A Simple Model of Capital Mar…News sentiment and sovereign credit risk (2019)News sentiment and sovereign …Does OPEC news sentiment influence stock returns of energy firms in the United States? (2018)Does OPEC news sentiment infl…Stock Price Reaction to News: The Joint Effect of Tone and Attention on Momentum (2017)Stock Price Reaction to News:…The Validity of Investor Sentiment Proxies (2016)The Validity of Investor Sent…News sentiment and overshooting of exchange rates (2016)News sentiment and overshooti…Informativeness of the market news sentiment in the Taiwan stock market (2016)Informativeness of the market…Time-variation in the impact of news sentiment (2014)Time-variation in the impact …Exploring Investors' Decision Making Processes During the 2008 Financial Crisis Using Epstein's Cognitive Experiential Self-Theory: A Multiple-case Study (2014)Exploring Investors' Decision…The Behavior of Stock-Market Prices (1965)Stock return variances (1986)Market liquidity and volume around earnings announcements (1994)Pre-announcement effects, news effects, and volatility: Monetary policy and the stock market (2002)Information demand and stock market volatility (2012)COVID-19: Media coverage and financial markets behavior—A sectoral inquiry (2020)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Framing of Decisions and the Psychology of Choice (1981)The Limits of Arbitrage (1995)Illiquidity and stock returns: cross-section and time-series effects (2002)Financial Ratios and the Probabilistic Prediction of Bankruptcy (1980)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Annual report readability, current earnings, and earnings persistence (2008)Predicting risk from financial reports with regression (2009)Making words work: Using financial text as a predictor of financial events (2010)The effect of news and public mood on stock movements (2014)Editor's Choice Digesting Anomalies: An Investment ApproachThe Pricing of Options and Corporate Liabilities (1973)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Liquidity and leverage (2008)… and the Cross-Section of Expected Returns (2015)An Empirical Evaluation of Accounting Income Numbers (1968)Econometric Analysis of Cross Section and Panel Data (2001)Earnings Announcements and Systematic Risk (2015)Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns (2016)Panic Selling When Disaster Strikes: Evidence in the Bond and Stock Markets (2021)The General Theory of Employment, Interest and Money. (1936)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)In Search of Attention (2011)Textual Analysis in Accounting and Finance: A Survey (2016)The Cross-Section of Expected Stock Returns (1992)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)How Wise Are Crowds? Insights from Retail Orders and Stock Returns (2013)Winners in the spotlight: Media coverage of fund holdings as a driver of flows (2014)The Governance Effect of the Media's News Dissemination Role: Evidence from Insider Trading (2015)Specification Tests in Econometrics (1978)Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence (2007)Robust Inference With Multiway Clustering (2011)Policy Uncertainty and Corporate Investment (2015)Momentum Investing and Business Cycle Risk: Evidence from Pole to Pole (2003)Understanding commonality in liquidity around the world (2011)What Factors Drive Global Stock Returns? (2011)The Effects of Mandatory ESG Disclosure Around the World (2024)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)
this work references cited by second hop

References

  • 2008Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches10,793 cited
  • 1987A Simple Model of Capital Market Equilibrium with Incomplete Information5,808 cited
  • 2007Giving Content to Investor Sentiment: The Role of Media in the Stock Market4,822 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 2009Media Coverage and the Cross‐section of Stock Returns1,967 cited
  • 2006INDIVIDUAL EQUITY RETURN DATA FROM THOMSON DATASTREAM: HANDLE WITH CARE!893 cited
  • 1994The Impact of Public Information on the Stock Market549 cited
  • 2010Does Public Financial News Resolve Asymmetric Information?544 cited
  • 2006Do Stock Market Investors Understand the Risk Sentiment of Corporate Annual Reports?301 cited
  • 2012Does Beta Move with News? Firm-Specific Information Flows and Learning about Profitability267 cited
  • 2008The Long‐Lasting Momentum in Weekly Returns203 cited
  • 2006Beyond the Numbers: An Analysis of Optimistic and Pessimistic Language in Earnings Press Releases147 cited
  • 1987Attributes of News about Firms: An Analysis of Firm-Specific News Reported in the Wall Street Journal Index137 cited

Cited by

  • 2018Does OPEC news sentiment influence stock returns of energy firms in the United States?

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

68 cited
  • 2014Time-variation in the impact of news sentiment30 cited
  • 2019News sentiment and sovereign credit risk29 cited
  • 2017Stock Price Reaction to News: The Joint Effect of Tone and Attention on Momentum29 cited
  • 2016Informativeness of the market news sentiment in the Taiwan stock market27 cited
  • 2016The Validity of Investor Sentiment Proxies22 cited
  • 2016News sentiment and overshooting of exchange rates16 cited
  • 2014Exploring Investors' Decision Making Processes During the 2008 Financial Crisis Using Epstein's Cognitive Experiential Self-Theory: A Multiple-case Study0 cited