9.7 REFERENCES
Aquinas T. (1265 or 1266–73) Summa Theologiae.
deBondt W.; Thaler D. (1985) “Does the stock market overreact?” Journal of Financial Economics, 55, 793–805.
Fang L.; Peress J. (forthcoming) “Media coverage and the cross-section of stock returns,” Journal of Finance.
Hafez P.A. (2009) Construction of Market Sentiment Indices Using News Sentiment, Working Paper, RavenPack International.
Hempel F.R.; Ronchetti E.M.; Rousseeuw P.J.; Stahel W.A. (2005) Robust Statistics: The Approach Based on Influence Functions, Wiley Series in Probability and Statistics, John Wiley & Sons Inc.
Hou K., Peng L., Xiong W. (2009) A Tale of Two Anomalies: The Implication of Investor Attention for Price and Earnings Momentum, Working Paper, http://princeton.edu/~wxiong
Peress J. (2008) Media Coverage and Investors' Attention to Earnings Announcements, Working Paper, Institut Européen d'Administration des Affaires (INSEAD).
Tetlock P.C. (2007) “Giving content to investor sentiment: The role of media in the stock market,” Journal of Finance, 62(2), 1139–1168.
The Handbook of News Analytics in Finance Edited by L. Mitra and G. Mitra © 2011 John Wiley & Sons
1 Such as a thing is, such is its act: Unumquodque enim quale est, talia operator—Aquinas (I–II, Q.55, A.2).
2 The current format of DJNA data prohibits (at least, not without considerable additional work) the inclusion of ADRs. Each company is tagged with its country ticker and a country code. It would be necessary to obtain a non-survivor-biased ...
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