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

  • Published:2022-01 Issue: Volume:134 Page:104290
  • ISSN:0165-1889
  • Container-title:Journal of Economic Dynamics and Control
  • language:en
  • Short-container-title:Journal of Economic Dynamics and Control

Author:

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

Funder

National Natural Science Foundation of China

Publisher

Elsevier BV

Subject

Applied Mathematics,Control and Optimization,Economics and Econometrics

Reference56 articles.

1. Equity Price Discovery with Informed Private Debt;Addoum,2019

2. Estimation of dynamic models with error components;Anderson;J. Am. Stat. Assoc.,1981

3. Is all that talk just noise? The information content of internet stock message boards;Antweiler;J. Finance,2004

4. Investor sentiment in the stock market;Baker;J. Econ. Perspect.,2007

5. Simultaneously discovering and quantifying risk types from textual risk disclosures;Bao;Manage. Sci.,2014

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