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15-090/III - Daily Market News Sentiment and Stock Prices

  • Authors
    David E. Allen, Centre for Applied Financial Studies, Adelaide, University of South Australia, and University of Sydney, Australia; Michael McAleer, National Tsing Hua University, Taiwan, Erasmus University Rotterdam, the Netherlands, and Complutense University of Madrid, Spain; Abhay K. Singh, Edith Cowan University, Perth, Australia
  • Publication date
    July 28, 2015
  • Keywords
    Sentiment Analysis, Financial News, Factor Models, Asset Pricing
  • JEL
    C31, G12, G140