We adopt a machine learning-based algorithm to identify direct and indirect company mentions in newspaper articles. We identify the importance of properly matching text segments to their respective companies when estimating human-perceived newspaper sentiment. Previous research has developed...

The role of investor sentiment in the stock market has attracted attentions of many economists. Previous papers show that investor sentiment has return predictability and it is more pronounced among stocks that are more difficult to value and/or to arbitrage, and emphasize the behavioral role of...

We introduce a novel method for training computer algorithms to measure news sentiment. Our approach leverages human-coded sentiment scores from over 200,000 newspaper articles to teach the computer to select words, word combinations, and their linear weights. In an out-of-sample test, examining...

I exploit the leveraged exchange-traded funds' (ETFs) primary market to measure aggregate, uninformed, gambling-like demand, that is, speculation sentiment. The leveraged ETFs' primary market is a novel setting that provides observable arbitrage activity attributed to correcting mispricing...

This paper aims at providing new insights on the pricing of aggregate volatility risk by incorporating investor sentiment in the relation between sensitivity to innovations in implied market volatility and expected stock returns. Using both cross-sectional and time series analysis, we...

We use retail Structured Equity Product (SEP) issuances to construct a new sentiment measure for individual stocks. The SEP sentiment measure predicts negative abnormal returns on the SEPs' reference stocks based on a variety of benchmarks including behavioral factor models and factors based on...

We introduce news sentiment as a variable that can explain and predict subsequent changes in the USD/EUR exchange rate, and therefore close a gap in the foreign exchange literature. By applying the concept of frequency filtering from the domain of electrical engineering, we show an innovative...

We analyze the role that financial analysts play in the sentiment effect on stock prices. Causality analysis reveals that sentiment affects various aspects of the work of analysts. We show that experienced analysts are aware of sentiment, consciously incorporate it, and have some control over...

One possible determinant of overpricing on asset markets is a lack of self-control abilities of traders. Self-control is the individual capacity to override or inhibit undesired behavioral tendencies such as impulses and to refrain from acting on them. We implement the first experiment that is...