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Language tone in financial news media and the cross-section of stock returns

Bask, Mikael; Forsberg, Lars; Östling, Andreas - 2020

Based on 58,256 news articles published in the Financial Times during a 15-year period that cover companies in the DJIA, we find that a trading strategy that longs stocks with the most negative news and shorts stocks with the least negative news is not profitable. Consistent with this result, we...

Persistent link: https://www.econbiz.de/10012207268

Media sentiment and stock returns

Bask, Mikael; Forsberg, Lars; Östling, Andreas - In: The quarterly review of economics and finance 94 (2024), pp. 303-311

Persistent link: https://www.econbiz.de/10014494686

On stable factor structures in the pricing of risk

Ghysels, Eric - 1995

Persistent link: https://www.econbiz.de/10001512514

On stable factor structures in the pricing of risk : do time-varying betas help or hurt?

Ghysels, Eric - In: The journal of finance : the journal of the American … 53 (1998) 2, pp. 549-573

Persistent link: https://www.econbiz.de/10001238269

Market time and asset price movements : theory and estimation

Ghysels, Eric; Gouriéroux, Christian; Jasiak, Joann - 1995

Persistent link: https://www.econbiz.de/10001512798

On the dynamic specification of international asset pricing models

Kichian, Maral; Garcia, René; Ghysels, Eric - 1995

Persistent link: https://www.econbiz.de/10001513096

L' intégration des marchés émergents et la modélisation des rendements des actifs risqués : une étude appliquée à la bourse des valeurs de Casablanca

Boyer, Marcel - In: L' Actualité économique : revue trimest. 73 (1997) 1, pp. 311-330

Persistent link: https://www.econbiz.de/10001337581

Structural change and asset pricing in emerging markets

Garcia, René - In: Journal of international money and finance 17 (1998) 3, pp. 455-473

Persistent link: https://www.econbiz.de/10001246597

Are consumption-based intertemporal capital asset pricing models structural?

Ghysels, Eric - In: Journal of econometrics 45 (1990) 1, pp. 121-139

Persistent link: https://www.econbiz.de/10001332077

Periodic autoregressive conditional heteroscedasticity

Bollerslev, Tim - In: Journal of business & economic statistics : JBES ; a … 14 (1996) 2, pp. 139-160

Persistent link: https://www.econbiz.de/10001203173

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