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Persistent link: https://www.econbiz.de/10011303209
The paper investigates the determinants of the idiosyncratic volatility puzzle by allowing linkages across asset returns. The first contribution of the paper is to show that portfolios sorted by increasing indegree computed on the network based on Granger causality test have lower expected...
Persistent link: https://www.econbiz.de/10011893131
We develop and test explanations for sources of intertemporal variation in the information content of aggregate earnings and how that variation explains variation in the relation between aggregate earnings growth and market returns over time. We find that the correlation between aggregate...
Persistent link: https://www.econbiz.de/10011800977
Most of peer-to-peer (P2P) online borrowers are small business managers. The learning behavior of borrowers in the P2P market is rarely studied. The aim of this paper is to identify the existence of borrowers' learning behavior in the P2P market using a large sample from renrendai.com, which is...
Persistent link: https://www.econbiz.de/10015371227
A large body of research studies shows that the quantitative outputs of analyst reports (e.g., earnings forecasts and recommendations) have informational value. In this study, by analyzing the textual tone of headlines in analyst reports, I reveal that textual opinion in the reports – a...
Persistent link: https://www.econbiz.de/10012914035
We introduce a general framework for analyzing large-scale text-based data, combining the strengths of neural-network language processing and generative statistical modeling. Our methodology generates textual factors by (i) representing texts using vector word embedding, (ii) clustering words...
Persistent link: https://www.econbiz.de/10012896133
We analyze whether newspaper content can predict aggregate future stock returns. Our study is based on articles published in the Handelsblatt, a leading German financial newspaper, from July 1989 to March 2011. We summarize newspaper content in a systematic way by constructing word-count indices...
Persistent link: https://www.econbiz.de/10009658674
We survey the textual sentiment literature, comparing and contrasting the various information sources, content analysis methods, and empirical models that have been used to date. We summarize the important and influential findings about how textual sentiment impacts on individual, firm-level and...
Persistent link: https://www.econbiz.de/10013007694
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