Media-expressed tone, option characteristics, and stock return predictability

DOI10.1016/J.JEDC.2021.104290MaRDI QIDQ2115956zbMATH OpenOpenAlexFDO

Authors Cathy Yi-Hsuan Chen, Matthias R. Fengler, Yanchu Liu, Wolfgang K. Härdle

Publication date 15 March 2022

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10419/230791

zbMATH Keywords

stock return predictabilitytopic modeloption marketstextual analysismedia-expressed tone

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cites work

• 10.1162/jmlr.2003.3.4-5.993
• A weak instrument \(F\)-test in linear IV models with multiple endogenous variables
• Estimation of Dynamic Models with Error Components
• Generalized reduced rank tests using the singular value decomposition
• Instrumental Variables Regression with Weak Instruments
• Natural language processing with Python.

Describes a project that uses

Uses Software

• Python
• NLTK

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