We propose an innovative methodology for decomposing the value added generated by a money manager within a given assessment interval into the contributions of the manager's investment decisions made in the various periods, in order to identify the most (and the least) impactful period decisions....

Recent advances in natural language processing have contributed to the development of market sentiment measures through text content analysis in news providers and social media. The effectiveness of these sentiment variables depends on the implemented techniques and the type of source on which...