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

DOI10.1016/j.jedc.2021.104290OpenAlexW3217608381MaRDI QIDQ2115956

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

Publication date: 15 March 2022

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

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

zbMATH Keywords

topic modelstock return predictabilityoption marketstextual analysismedia-expressed tone

Mathematics Subject Classification ID

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

Uses Software

• NLTK
• Python

Cites Work

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

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