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Statistical Properties of News Sentiment Inhibit Return Predictability

https://doi.org/10.2139/ssrn.4623989
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Making Text Count: Economic Forecasting Using Newspaper Text
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A forecast comparison of volatility models: does anything beat a GARCH(1,1)?
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Confidence Intervals for Regression Quantiles
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Tests for cointegration a Monte Carlo comparison
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Stock return predictability and investor sentiment: A high-frequency perspective
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Testing for Stationarity at High Frequency
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Measuring news sentiment
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High frequency market making: The role of speed
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News implied volatility and disaster concerns
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Are Friday announcements special? Overcoming selection bias
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A picture is worth a thousand words: Measuring investor sentiment by combining machine learning and photos from news
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The Colour of Finance Words
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The long-run information effect of central bank communication
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The economic effects of trade policy uncertainty
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Pitfalls in testing for long run relationships
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Quantile Regression
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Distribution of the Estimators for Autoregressive Time Series with a Unit Root
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How Much Should We Trust the Dictator’s GDP Growth Estimates?
inferredcites →https://doi.org/10.1093/jjfinec/nbj008openalex-extracted
Structural Breaks and Predictive Regression Models of Aggregate U.S. Stock Returns
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Measuring Economic Policy Uncertainty*
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A Comprehensive 2022 Look at the Empirical Performance of Equity Premium Prediction
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A Comprehensive Look at The Empirical Performance of Equity Premium Prediction
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Market Timing and Capital Structure
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Spurious Regressions in Financial Economics?
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A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1
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Giving Content to Investor Sentiment: The Role of Media in the Stock Market
inferredcites →https://doi.org/10.1111/j.1540-6261.2010.01625.xopenalex-extracted
When Is a Liability Not a Liability? Textual Analysis, Dictionaries, and 10‐Ks
inferredcites →https://doi.org/10.1111/jofi.12027openalex-extracted
Sentiment During Recessions
inferredcites →https://doi.org/10.1111/jofi.12162openalex-extracted
Measuring Readability in Financial Disclosures
inferredcites →https://doi.org/10.1111/jofi.13137openalex-extracted
Testing Disagreement Models
inferredcites →https://doi.org/10.1111/jofi.13377openalex-extracted
Business News and Business Cycles
inferredcites →https://doi.org/10.1146/annurev-financial-110217-022725openalex-extracted
Measuring Investor Sentiment
inferredcites →https://doi.org/10.1162/0034653054638274openalex-extracted
Nonstationarities in Stock Returns
inferredcites →https://doi.org/10.1198/073500102753410417openalex-extracted
Estimation and Inference in Two-Step Econometric Models
inferredcites →https://doi.org/10.1198/jbes.2009.08046openalex-extracted
t -Statistic Based Correlation and Heterogeneity Robust Inference
inferredcites →https://doi.org/10.1257/aer.102.4.1343openalex-extracted
Information, Animal Spirits, and the Meaning of Innovations in Consumer Confidence
inferredcites →https://doi.org/10.1257/aer.20191823openalex-extracted
Measuring Geopolitical Risk
inferredcites →https://doi.org/10.1257/jel.20181020openalex-extracted
Text as Data
inferredcites →https://doi.org/10.1257/jep.21.2.109openalex-extracted
Disagreement and the Stock Market
inferredcites →https://doi.org/10.1515/9780691218632openalex-extracted
Time Series Analysis
inferredcites →https://doi.org/10.1525/9780520963290-004openalex-extracted
1. Introduction to Econometrics
inferredcites →https://doi.org/10.1609/icwsm.v8i1.14550openalex-extracted
VADER: A Parsimonious Rule-Based Model for Sentiment Analysis of Social Media Text
inferredcites →https://doi.org/10.17016/feds.2021.074openalex-extracted
Words Speak as Loudly as Actions: Central Bank Communication and the Response of Equity Prices to Macroeconomic Announcements
inferredcites →https://doi.org/10.2139/ssrn.2382197openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.242112openalex-extracted
Spurious Regressions in Financial Economics?
inferredcites →https://doi.org/10.2139/ssrn.3522305openalex-extracted
The Structure of Economic News
inferredcites →https://doi.org/10.2139/ssrn.3537841openalex-extracted
Political Polarization in Financial News
inferredcites →https://doi.org/10.2139/ssrn.4281161openalex-extracted
Investor Sentiment and Asset Returns: Actions Speak Louder than Words
inferredcites →https://doi.org/10.2307/1391724openalex-extracted
Estimation and Inference in Two-Step Econometric Models
inferredcites →https://doi.org/10.2307/1912934openalex-extracted
A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
inferredcites →https://doi.org/10.2307/1913236openalex-extracted
Co-Integration and Error Correction: Representation, Estimation, and Testing
inferredcites →https://doi.org/10.2307/1913610openalex-extracted
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
inferredcites →https://doi.org/10.2307/2109959openalex-extracted
Finding Cointegration Rank in High Dimensional Systems Using the Johansen Test: An Illustration Using Data Based Monte Carlo Simulations
inferredcites →https://doi.org/10.2307/2118454openalex-extracted
Trading Volume and Serial Correlation in Stock Returns
inferredcites →https://doi.org/10.2307/2286348openalex-extracted
Distribution of the Estimators for Autoregressive Time Series With a Unit Root
inferredcites →https://doi.org/10.2307/2648877openalex-extracted
Econometric Issues in the Analysis of Regressions with Generated Regressors
inferredcites →https://doi.org/10.2307/2938278openalex-extracted
Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
inferredcites →https://doi.org/10.2307/2938339openalex-extracted
Asymptotic Properties of Residual Based Tests for Cointegration
inferredcites →https://doi.org/10.2308/accr.2009.84.1.157openalex-extracted
The Timing of Earnings Announcements: An Examination of the Strategic Disclosure Hypothesis
inferredcites →https://doi.org/10.2308/tar-2021-0088openalex-extracted
Managers’ Strategic Use of Concurrent Disclosure: Evidence from 8-K Filings and Press Releases
inferredcites →https://doi.org/10.24148/wp2017-01openalex-extracted
Measuring News Sentiment
inferredcites →https://doi.org/10.3982/ecta10762openalex-extracted
Competing on Speed
inferredcites →https://doi.org/10.3982/qe2055openalex-extracted
Understanding regressions with observations collected at high frequency over long span
inferredcites →https://doi.org/10.7551/mitpress/1120.003.0082openalex-extracted
Latent Dirichlet Allocation
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