We introduce the jump intensity and investor sentiment from the Hawkes and Contact processes to forecast Realized Range-based Volatility using high frequency intraday data. Investor sentiment factor is added to the benchmark models, which are Heterogeneous Auto-Regressive with Continuous...

We introduce the jump intensity and investor sentiment from the Hawkes and Contact processes to forecast Realized Range-based Volatility using high frequency intraday data. Investor sentiment factor is added to the benchmark models, which are Heterogeneous Auto-Regressive with Continuous...

Media-aware stock performance has been a hot issue in asset pricing. Numerous studies have focused on the impact of news content. However, few studies have paid attention to the form of news releases. In this paper, using data from 126,784 news of Chinese listed companies from 2013-2018, we...

This paper examines the impact of analyst corporate site visits on stock price crash risk using a unique data set of Chinese A-share stocks listed on the Shenzhen stock exchange (SZSE) over the 2012–2019 period. We find that the frequency of analyst corporate site visits is positively...