How does news sentiment impact asset volatility? Evidence from long memory and regime-switching approaches
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Ho, Kin-Yip; Shi, Yanlin; Zhang, Zhaoyong
Description
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
Collections | ANU Research Publications |
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Date published: | 2013 |
Type: | Journal article |
URI: | http://hdl.handle.net/1885/75659 |
Source: | North American Journal of Economics and Finance |
DOI: | 10.1016/j.najef.2013.02.015 |
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01_Ho_How_does_news_sentiment_impact_2013.pdf | 725.53 kB | Adobe PDF | Request a copy |
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