The stock market is affected by sentiment. The question is, however, how to quantify this effect on asset prices. By utilizing the unique RavenPack Sentiment Index, a news-based proxy for market sentiment, this paper intends to address this issue empirically by exploring the pricing implications...

In this research, we investigate how EURUSD reacts to short and long term changes in macro sentiment between the U.S. and the Eurozone. Sentiment is measured by assigning scores to macroeconomic and geopolitical events reported in the news. Overall, we find evidence that the EURUSD overreacts to...

In this study we propose a short-term Forex trading strategy that uses the principles of technical analysis to create buy or sell signals based on data derived from fundamental news. Short and long term sentiment inflection points are captured by consulting a set of sentiment indexes that...

In this study, we explore the characteristics of RavenPack's new data set derived from online sources of financial news and opinion compared to the real-time content published by Dow Jones & the Wall Street Journal. Overall, we find the web is catching up in terms of reporting novel corporate...

Calculating news sentiment indexes at the company level in real time offer a better understanding of the role of sentiment in asset pricing. This study shows how to construct these indexes, and how to create signals that can form the basis of a news-based short-term stock selection model....

When a firm commit to a more stringent disclosure regime, market maker relies more on disclosure itself and less on the alternative information source, such as abnormal trading volume. Using a panel of foreign firms that cross-list in US, I find significant deduction in the slope coefficient in...

This paper examines the impact of the delisting of Level II and Level III ADRs on the home stock market. The specially constructed sample allows us to examine the bonding hypothesis without the self-selection bias. I find that both voluntary and involuntary delisting announcements result in a...

This paper examines the impact of the delisting of Level II and Level III ADRs on the home stock market. The specially constructed sample allows us to examine the bonding hypothesis without the self-selection bias. I find that both voluntary and involuntary delisting announcements result in a...

Currency factors, such as momentum, carry and value, are well-known candidates for alternative risk premia strategies. Benefiting from low correlations with traditional asset classes, FX factors can provide portfolio diversification advantages, while delivering idiosyncratic returns. In this...