Textual analysis of news articles is increasingly important in predicting stock prices. Previous research has intensively utilized the textual analysis of news and other firm-related documents in volatility prediction models. It has been demonstrated that the news may be related to abnormal...

Employing asset-pricing models over the period 2012 to 2017, this study examines whether a search attention index (SAI) explains the variation in the weekly excess return of stocks. The study finds that the estimated abnormal return of a portfolio based on search intensity is significantly high...

This paper aims to measure the impact of COVID-19 pandemic on the US stock market.It applies Generalized Autoregressive Conditional Heteroskedasticity (GARCH), Vector Autoregressive (VAR) and Event study Method (ESM) models. The ESM follows three different timelines, such as pre-event,...

Purpose - The current study aims to investigate the impacts of two behavioral biases, namely, loss aversion and overconfidence on the performance of US companies. First, the impact of loss aversion on the economic performance of companies was assessed. Second, the impact of overconfidence on...