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Information, Trading, and Volatility: Evidence from Firm-Specific News
16 references·16 citing·31 second hopsampled
Information, Trading, and Volatility: Evidence from Firm-Specific News (2018)Information, Trading, and Volatility: Evi…When Is a Liability Not a Liability? Textual Analysis, Dictionaries, and 10‐Ks (2011)When Is a Liability Not a Lia…Twitter mood predicts the stock market (2011)Twitter mood predicts the sto…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…Investor Sentiment and the Cross‐Section of Stock Returns (2006)Investor Sentiment and the Cr…The Adjustment of Stock Prices to New Information (2003)The Adjustment of Stock Price…The information content of stock markets: why do emerging markets have synchronous stock price movements? (2000)The information content of st…Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Psychology and Secur…Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…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…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…The Adjustment of Stock Prices to New Information (1969)The Adjustment of Stock Price…An Empirical Evaluation of Accounting Income Numbers (1968)An Empirical Evaluation of Ac…The Value of Differing Points of View: Evidence from Financial Analysts’ Geographic Diversity (2022)The Value of Differing Points…Price revelation from insider trading: Evidence from hacked earnings news (2022)Price revelation from insider…Machine learning methods in finance: Recent applications and prospects (2022)Machine learning methods in f…News as sources of jumps in stock returns: Evidence from 21 million news articles for 9000 companies (2021)News as sources of jumps in s…Informed Trading Intensity (2021)Informed Trading IntensityExplainable Machine Learning Exploiting News and Domain-Specific Lexicon for Stock Market Forecasting (2021)Explainable Machine Learning …Can the Market Multiply and Divide? Non‐Proportional Thinking in Financial Markets (2021)Can the Market Multiply and D…The Night and Day of Amihud’s (2002) Liquidity Measure (2020)The Night and Day of Amihud’s…FinTechs and the Market for Financial Analysis (2020)FinTechs and the Market for F…When Does Attention Matter? The Effect of Investor Attention on Stock Market Volatility Around News Releases (2019)When Does Attention Matter? T…Predicting Returns with Text Data (2019)Predicting Returns with Text …Illiquidity and the Measurement of Stock Price Synchronicity (2019)Illiquidity and the Measureme…First to “Read” the News: News Analytics and Algorithmic Trading (2019)First to “Read” the News: New…Fake News: Evidence from Financial Markets (2018)Fake News: Evidence from Fina…Economic policy uncertainty, CDS spreads, and CDS liquidity provision (2018)Economic policy uncertainty, …Risk Everywhere: Modeling and Managing Volatility (2016)Risk Everywhere: Modeling and…Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)The General Theory of Employment, Interest and Money. (1936)The Behavior of Stock-Market Prices (1965)The Limits of Arbitrage (1995)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Using daily stock returns (1985)Does the Stock Market Overreact? (1985)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)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)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)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Personality, Gender, and Age in the Language of Social Media: The Open-Vocabulary Approach (2013)Social media and loneliness: Why an Instagram picture may be worth more than a thousand Twitter words (2016)Text as Data (2019)The Cross-Section of Expected Stock Returns (1992)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)Efficient Capital Markets: II (1991)
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References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1968An Empirical Evaluation of Accounting Income Numbers6,384 cited
  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 2006Investor Sentiment and the Cross‐Section of Stock Returns6,042 cited
  • 2011When Is a Liability Not a Liability? Textual Analysis, Dictionaries, and 10‐Ks6,003 cited
  • 1998Investor Psychology and Security Market Under‐ and Overreactions5,711 cited
  • 2011Twitter mood predicts the stock market5,204 cited
  • 1980On the Impossibility of Informationally Efficient Markets5,122 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
  • 1980On the Impossibility of Informationally Efficient Markets3,640 cited
  • 1969The Adjustment of Stock Prices to New Information3,625 cited
  • 2000The information content of stock markets: why do emerging markets have synchronous stock price movements?3,332 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability

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3,120 cited
  • 2003The Adjustment of Stock Prices to New Information3,063 cited
  • Cited by

    • 2020FinTechs and the Market for Financial Analysis169 cited
    • 2021News as sources of jumps in stock returns: Evidence from 21 million news articles for 9000 companies134 cited
    • 2018Fake News: Evidence from Financial Markets114 cited
    • 2019Predicting Returns with Text Data114 cited
    • 2022Machine learning methods in finance: Recent applications and prospects96 cited
    • 2021Informed Trading Intensity86 cited
    • 2016Risk Everywhere: Modeling and Managing Volatility83 cited
    • 2021Explainable Machine Learning Exploiting News and Domain-Specific Lexicon for Stock Market Forecasting83 cited
    • 2018Economic policy uncertainty, CDS spreads, and CDS liquidity provision75 cited
    • 2019When Does Attention Matter? The Effect of Investor Attention on Stock Market Volatility Around News Releases65 cited
    • 2022Price revelation from insider trading: Evidence from hacked earnings news64 cited
    • 2019Illiquidity and the Measurement of Stock Price Synchronicity61 cited
    • 2022The Value of Differing Points of View: Evidence from Financial Analysts’ Geographic Diversity60 cited
    • 2021Can the Market Multiply and Divide? Non‐Proportional Thinking in Financial Markets60 cited
    • 2020The Night and Day of Amihud’s (2002) Liquidity Measure56 cited
    • 2019First to “Read” the News: News Analytics and Algorithmic Trading55 cited