News Sentiment: A New Yield Curve Factor
Author:
Affiliation:
1. University of Zurich
Publisher
Informa UK Limited
Subject
Finance,Experimental and Cognitive Psychology
Link
https://www.tandfonline.com/doi/pdf/10.1080/15427560.2018.1432620
Reference33 articles.
1. A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables
2. Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards
3. A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.1
4. Stock market returns: A note on temperature anomaly
5. Expectations, Bond Yields, and Monetary Policy
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