Showing 1 - 4 of 4
We distill sentiment from a huge assortment of NASDAQ news articles by means of machine learning methods and examine its predictive power in single-stock option markets and equity markets. We provide evidence that single-stock options react to contemporaneous sentiment. Next, examining return...
Persistent link: https://www.econbiz.de/10012433172
We distill tone from a huge assortment of NASDAQ articles to examine the predictive power of media-expressed tone in single-stock option markets and equity markets. We find that (1) option markets are impacted by media tone; (2) option variables predict stock returns along with tone; (3) option...
Persistent link: https://www.econbiz.de/10012433229
Estimation or mis-specification errors in the portfolio loss distribution can have a considerable impact on risk measures. This paper investigates the sensitivity of tail-related risk measures including the Value-at-Risk, expected shortfall and the expectile-quantile transformation level in an...
Persistent link: https://www.econbiz.de/10012915185
New Public Management helps universities and research institutions to perform in a highly competitive research environment. Evaluating publicly financed research results improves transparency, helps in reflection and self-assessment, and provides information for strategic decision making. In...
Persistent link: https://www.econbiz.de/10012925977