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How does news sentiment impact asset volatility? Evidence from long memory and regime-switching approaches

Ho, Kin-Yip; Shi, Yanlin; Zhang, Zhaoyong


This paper examines the dynamic relationship between firm-level return volatility and public news sentiment. By using the new RavenPack News Analytics - Dow Jones Edition database that captures over 1200 types of firm-specific and macroeconomic news relea

CollectionsANU Research Publications
Date published: 2013
Type: Journal article
Source: North American Journal of Economics and Finance
DOI: 10.1016/j.najef.2013.02.015


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