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

DOI10.1016/J.JEDC.2021.104290OpenAlexW3217608381MaRDI QIDQ2115956FDOQ2115956

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

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

Recommendations

• Stock-specific sentiment and return predictability
• Media connection and return comovement
• Forecasting the equity premium: mind the news!
• Volatility spreads and expected stock returns
• Option-implied value-at-risk and the cross-section of stock returns

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)

Cites Work

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

Uses Software

• NLTK
• Python

This page was built for publication: Media-expressed tone, option characteristics, and stock return predictability

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2115956)