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

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Date

2013

Authors

Ho, Kin-Yip
Shi, Yanlin
Zhang, Zhaoyong

Journal Title

Journal ISSN

Volume Title

Publisher

Elsevier

Abstract

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

Description

Keywords

Citation

URI

http://hdl.handle.net/1885/75659

Collections

Open Access Research

Source

North American Journal of Economics and Finance

Type

Journal article

Book Title

Entity type

Access Statement

License Rights

DOI

10.1016/j.najef.2013.02.015

Restricted until

2037-12-31

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01_Ho_How_does_news_sentiment_impact_2013.pdf (725.53 KB)

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