Matches in SemOpenAlex for { <https://semopenalex.org/work/W3125921643> ?p ?o ?g. }
Showing items 1 to 97 of
97
with 100 items per page.
- W3125921643 abstract "We distill sentiment from a huge assortment of NASDAQ news articles by means of machine learning methods and examine its predictive power in single-stock option markets and equity markets. We provide evidence that single-stock options react to contemporaneous sentiment. Next, examining return predictability, we discover that while option variables indeed predict stock returns, sentiment variables add further informational content. In fact, both in a regression and a trading context, option variables orthogonalized to public and sentimental news are even more informative predictors of stock returns. Distinguishing further between overnight and trading-time news, we find the first to be more informative. From a statistical topic model, we uncover that this is attributable to the differing thematic coverage of the alternate archives. Finally, we show that sentiment disagreement commands a strong positive risk premium above and beyond market volatility and that lagged returns predict future returns in concentrated sentiment environments." @default.
- W3125921643 created "2021-02-01" @default.
- W3125921643 creator A5007910225 @default.
- W3125921643 creator A5053742635 @default.
- W3125921643 creator A5061240633 @default.
- W3125921643 creator A5073701627 @default.
- W3125921643 date "2018-01-01" @default.
- W3125921643 modified "2023-09-27" @default.
- W3125921643 title "Textual Sentiment, Option Characteristics, and Stock Return Predictability" @default.
- W3125921643 hasPublicationYear "2018" @default.
- W3125921643 type Work @default.
- W3125921643 sameAs 3125921643 @default.
- W3125921643 citedByCount "0" @default.
- W3125921643 crossrefType "posted-content" @default.
- W3125921643 hasAuthorship W3125921643A5007910225 @default.
- W3125921643 hasAuthorship W3125921643A5053742635 @default.
- W3125921643 hasAuthorship W3125921643A5061240633 @default.
- W3125921643 hasAuthorship W3125921643A5073701627 @default.
- W3125921643 hasConcept C101161028 @default.
- W3125921643 hasConcept C106159729 @default.
- W3125921643 hasConcept C111472728 @default.
- W3125921643 hasConcept C121332964 @default.
- W3125921643 hasConcept C127413603 @default.
- W3125921643 hasConcept C131562839 @default.
- W3125921643 hasConcept C138885662 @default.
- W3125921643 hasConcept C149782125 @default.
- W3125921643 hasConcept C151730666 @default.
- W3125921643 hasConcept C154945302 @default.
- W3125921643 hasConcept C162324750 @default.
- W3125921643 hasConcept C17744445 @default.
- W3125921643 hasConcept C181236170 @default.
- W3125921643 hasConcept C197640229 @default.
- W3125921643 hasConcept C199539241 @default.
- W3125921643 hasConcept C199728807 @default.
- W3125921643 hasConcept C204036174 @default.
- W3125921643 hasConcept C2778136018 @default.
- W3125921643 hasConcept C2779343474 @default.
- W3125921643 hasConcept C2780299701 @default.
- W3125921643 hasConcept C41008148 @default.
- W3125921643 hasConcept C62520636 @default.
- W3125921643 hasConcept C66402592 @default.
- W3125921643 hasConcept C78519656 @default.
- W3125921643 hasConcept C86803240 @default.
- W3125921643 hasConcept C91602232 @default.
- W3125921643 hasConceptScore W3125921643C101161028 @default.
- W3125921643 hasConceptScore W3125921643C106159729 @default.
- W3125921643 hasConceptScore W3125921643C111472728 @default.
- W3125921643 hasConceptScore W3125921643C121332964 @default.
- W3125921643 hasConceptScore W3125921643C127413603 @default.
- W3125921643 hasConceptScore W3125921643C131562839 @default.
- W3125921643 hasConceptScore W3125921643C138885662 @default.
- W3125921643 hasConceptScore W3125921643C149782125 @default.
- W3125921643 hasConceptScore W3125921643C151730666 @default.
- W3125921643 hasConceptScore W3125921643C154945302 @default.
- W3125921643 hasConceptScore W3125921643C162324750 @default.
- W3125921643 hasConceptScore W3125921643C17744445 @default.
- W3125921643 hasConceptScore W3125921643C181236170 @default.
- W3125921643 hasConceptScore W3125921643C197640229 @default.
- W3125921643 hasConceptScore W3125921643C199539241 @default.
- W3125921643 hasConceptScore W3125921643C199728807 @default.
- W3125921643 hasConceptScore W3125921643C204036174 @default.
- W3125921643 hasConceptScore W3125921643C2778136018 @default.
- W3125921643 hasConceptScore W3125921643C2779343474 @default.
- W3125921643 hasConceptScore W3125921643C2780299701 @default.
- W3125921643 hasConceptScore W3125921643C41008148 @default.
- W3125921643 hasConceptScore W3125921643C62520636 @default.
- W3125921643 hasConceptScore W3125921643C66402592 @default.
- W3125921643 hasConceptScore W3125921643C78519656 @default.
- W3125921643 hasConceptScore W3125921643C86803240 @default.
- W3125921643 hasConceptScore W3125921643C91602232 @default.
- W3125921643 hasLocation W31259216431 @default.
- W3125921643 hasOpenAccess W3125921643 @default.
- W3125921643 hasPrimaryLocation W31259216431 @default.
- W3125921643 hasRelatedWork W1795687284 @default.
- W3125921643 hasRelatedWork W2118959968 @default.
- W3125921643 hasRelatedWork W2194910181 @default.
- W3125921643 hasRelatedWork W2240543585 @default.
- W3125921643 hasRelatedWork W2274293954 @default.
- W3125921643 hasRelatedWork W2281852710 @default.
- W3125921643 hasRelatedWork W2359632376 @default.
- W3125921643 hasRelatedWork W2383939297 @default.
- W3125921643 hasRelatedWork W2606175140 @default.
- W3125921643 hasRelatedWork W2904139812 @default.
- W3125921643 hasRelatedWork W2921409648 @default.
- W3125921643 hasRelatedWork W2969860847 @default.
- W3125921643 hasRelatedWork W3034251551 @default.
- W3125921643 hasRelatedWork W3123534958 @default.
- W3125921643 hasRelatedWork W3124008077 @default.
- W3125921643 hasRelatedWork W3125062613 @default.
- W3125921643 hasRelatedWork W3146029271 @default.
- W3125921643 hasRelatedWork W3147712695 @default.
- W3125921643 hasRelatedWork W3201547690 @default.
- W3125921643 hasRelatedWork W2775950053 @default.
- W3125921643 isParatext "false" @default.
- W3125921643 isRetracted "false" @default.
- W3125921643 magId "3125921643" @default.
- W3125921643 workType "article" @default.