Journal ArticleDOI
Sentiment during Recessions
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This paper used the fraction of positive and negative words in two columns of financial news from the New York Times as a proxy for sentiment, and showed that the predictability of stock returns using news' content is concentrated in recessions.Abstract:
This paper studies the effect of sentiment on asset prices during the 20th century (1905 to 2005). As a proxy for sentiment, we use the fraction of positive and negative words in two columns of financial news from the New York Times. The main contribution of the paper is to show that, controlling for other well-known time-series patterns, the predictability of stock returns using news' content is concentrated in recessions. A one standard deviation shock to our news measure during recessions predicts a change in the conditional average return on the DJIA of 12 basis points over one day.read more
Citations
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Journal ArticleDOI
Textual Analysis in Accounting and Finance: A Survey
Tim Loughran,Bill McDonald +1 more
TL;DR: In this paper, the authors describe the nuances of the textual analysis and some of the tripwires in implementation and highlight the contemporary textual analysis literature and highlight areas of future research.
Journal ArticleDOI
Investor Attention and Stock Market Volatility
Daniel Andrei,Michael Hasler +1 more
TL;DR: In this paper, the authors investigate the role played by investors' attention to news and learning uncertainty in determining asset prices and show that both attention and uncertainty are key determinants of asset prices.
Journal ArticleDOI
Journalists and the Stock Market
TL;DR: This article found that a small set of financial columnists has a causal effect on short-term aggregate stock market prices, suggesting that amplification or attenuation of existing sentiment is the mechanism underlying the financial media's influence.
Journal ArticleDOI
Textual sentiment in finance: a survey of methods and models
Colm Kearney,Sha Liu +1 more
TL;DR: The authors survey the textual sentiment literature, comparing and contrasting the various information sources, content analysis methods, and empirical models that have been used to date, and summarize the important and influential findings about how textual sentiment impacts on individual, firm-level and market-level behavior and performance, and vice versa.
Journal ArticleDOI
News Implied Volatility and Disaster Concerns
Asaf Manela,Alan Moreira +1 more
TL;DR: This article constructed a text-based measure of uncertainty starting in 1890 using front-page articles of the Wall Street Journal and found that news implied volatility (NVIX) peaks during stock market crashes, times of policy-related uncertainty, world wars and financial crises.
References
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Book ChapterDOI
Prospect theory: an analysis of decision under risk
Daniel Kahneman,Amos Tversky +1 more
TL;DR: In this paper, the authors present a critique of expected utility theory as a descriptive model of decision making under risk, and develop an alternative model, called prospect theory, in which value is assigned to gains and losses rather than to final assets and in which probabilities are replaced by decision weights.
Journal ArticleDOI
A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
TL;DR: In this article, a parameter covariance matrix estimator which is consistent even when the disturbances of a linear regression model are heteroskedastic is presented, which does not depend on a formal model of the structure of the heteroSkewedness.
Book
The Cognitive Structure of Emotions
TL;DR: In this paper, a cognitive theory of emotion is proposed, which describes the organization of emotion types and the implications of the emotions-as-valenced-reactions claim, and the boundaries of the theory Emotion words and cross-cultural issues.
Journal ArticleDOI
Patterns of cognitive appraisal in emotion
TL;DR: This work proposes eight cognitive appraisal dimensions to differentiate emotional experience, and investigates the patterns of appraisal for the different emotions, and the role of each of the dimensions in differentiating emotional experience are discussed.
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