We propose a new measure of investor disagreement based on thirty-nine factors from the return-predicting anomaly literature. Consistent with theoretical work on volume, we show that a one standard deviation change in anomaly-based disagreement is associated with a 16.7% higher turnover in the...

News carry information of market moves. The gargantuan plethora of opinions, facts and tweets on financial business offers the opportunity to test and analyze the influence of such text sources on future directions of stocks. It also creates though the necessity to distill via statistical...

Based on full-displayed limit order book data from the electronic trading system Xetra, I study traders' tendency to herd in their decisions to buy or to sell securities around the time of news release. In more detail, I study the impact of company-specific, real-time messages routed by Reuters...

This paper investigates how technical trading systems exploit the momentum and reversal effects in the S&P 500 spot and futures market. When based on daily data, the profitability of 2580 technical models has steadily declined since 1960, and has been unprofitable since .the early 1990s....

This paper introduces a real-time, continuous measure of national sentiment that is language-free and thus comparable globally: the positivity of songs that individuals choose to listen to. This is a direct measure of mood that does not pre-specify certain mood-affecting events nor assume the...

This paper investigates how technical trading systems exploit the momentum and reversal effects in the S&P 500 spot and futures market. The former is exploited by trend-following models, while the latter by contrarian models. In total, the performance of 2580 widely used models is analyzed. When...

In this study, we test a set of country macro sentiment indexes that measure the trailing sentiment on both scheduled and unscheduled economic and geopolitical news events. We develop a cross-over strategy in the FX market based on short to long-term news sentiment inflection points covering the...

This paper extends previous research which has examined the market impact of large transactions in bull and bear markets by examining the information eff ects of trades. Previous research has demonstrated that the information effects of buy trades are greater than the information eff ects of...

As noise traders affect stock market by trading, sentiment, as a signal of noise, may have relationships with trading volume. This paper explores the effect of sentiment on the stock market's trading volume. Increase in Volatility Index (VIX) can explain the percentage increase in trading...