Stock-specific sentiment and return predictability

DOI10.1080/14697688.2020.1736314zbMath1454.91284OpenAlexW3017690048MaRDI QIDQ5139250

Guillaume Coqueret

Publication date: 7 December 2020

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2020.1736314

zbMATH Keywords

predictability\(p\)-hackingnews sentiment

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• How much stock return predictability can we expect from an asset pricing model?
• A unified test for predictability of asset returns regardless of properties of predicting variables
• The value of news for economic developments
• Applications of a multivariate Hawkes process to joint modeling of sentiment and market return events
• Twitter financial community sentiment and its predictive relationship to stock market movement
• Common risk factors in the returns on stocks and bonds
• Why are p-Values Controversial?

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