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Applied Economics Letters Volume 27, 2020 - Issue 18
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Research Article

Sentiment’s effect on the variance of stock returns

Eric Olsona Collins College of Business, The University of Tulsa, Tulsa, OK, USACorrespondence[email protected]
&
Adam Nowakb College of Business & Economics, West Virginia University, Morgantown, WV, USA
Pages 1469-1473 | Published online: 12 Nov 2019

References

  • Baker, M., and J. Wurgler. 2006. “Investor Sentiment and the Cross-section of Stock Returns.” The Journal of Finance 61 (4): 1645–1680. doi:10.1111/j.1540-6261.2006.00885.x.
  • Boudoukh, J., R. Feldman, S. Kogan, and M. Richardson. 2013. Which News Moves Stock Prices? A Textual Analysis. Technical report. National Bureau of Economic Research.
  • Dougal, C., J. Engelberg, D. Garcia, and C. A. Parsons. 2012. “Journalists and the Stock Market.” Review of Financial Studies 25 (3): 639–679. doi:10.1093/rfs/hhr133.
  • Garcia, D. 2013. “Sentiment during Recessions.” The Journal of Finance 68 (3): 1267–1300. doi:10.1111/jofi.12027.
  • Heston, S. L., and N. R. Sinha. 2016. News versus Sentiment: Predicting Stock Returns from News Stories. Technical report. Board of Governors of the Federal Reserve System (US).
  • Loughran, T., and B. McDonald. 2011. “When Is a Liability Not a Liability? Textual Analysis, Dictionaries, and 10-ks.” The Journal of Finance 66 (1): 35–65. doi:10.1111/j.1540-6261.2010.01625.x.
  • Tetlock, P. C. 2007. “Giving Content to Investor Sentiment: The Role of Media in the Stock Market.” The Journal of Finance 62 (3): 1139–1168. doi:10.1111/j.1540-6261.2007.01232.x.
  • Yang, C., and J. Li. 2013. “Investor Sentiment, Information and Asset Pricing Model.” Eco- Nomic Modelling 35: 436–442. doi:10.1016/j.econmod.2013.07.015.

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