IDEAS home Printed from https://ideas.repec.org/r/eee/jfinec/v123y2017i1p137-162.html

News implied volatility and disaster concerns

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Croce, M.M. & Nguyen, Thien T. & Raymond, S. & Schmid, L., 2019. "Government debt and the returns to innovation," Journal of Financial Economics, Elsevier, vol. 132(3), pages 205-225.
  2. Freire, Gustavo, 2021. "Tail risk and investors’ concerns: Evidence from Brazil," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  3. Isakin, Maksim & Pu, Xiaoling, 2023. "Dispersion in news sentiment and corporate bond returns," International Review of Financial Analysis, Elsevier, vol. 89(C).
  4. Pan, Zhiyuan & Zhong, Hao & Wang, Yudong & Huang, Juan, 2024. "Forecasting oil futures returns with news," Energy Economics, Elsevier, vol. 134(C).
  5. Leland Bybee & Bryan T. Kelly & Asaf Manela & Dacheng Xiu, 2020. "The Structure of Economic News," NBER Working Papers 26648, National Bureau of Economic Research, Inc.
  6. Amarda Cano, 2021. "Evolution of Public Debt in Albania during 1990-2017 and its impact on the Economic Growth," European Journal of Marketing and Economics Articles, Revistia Research and Publishing, vol. 4, ejme_v4_i.
  7. Müller, Karsten, 2020. "German forecasters' narratives: How informative are German business cycle forecast reports?," Working Papers 23, German Research Foundation's Priority Programme 1859 "Experience and Expectation. Historical Foundations of Economic Behaviour", Humboldt University Berlin.
  8. Ali Kabiri & Harold James & John Landon-Lane & David Tuckett & Rickard Nyman, 2020. "The Role of Sentiment in the Economy: 1920 to 1934," CESifo Working Paper Series 8336, CESifo.
  9. Shi, Guiqiang & Goodell, John W. & Shen, Dehua, 2024. "Return volatility and trading volume of GameFi," Journal of Behavioral and Experimental Finance, Elsevier, vol. 43(C).
  10. Yen-Ju Hsu & Yang-Cheng Lu & J. Jimmy Yang, 2021. "News sentiment and stock market volatility," Review of Quantitative Finance and Accounting, Springer, vol. 57(3), pages 1093-1122, October.
  11. Vegard Høghaug Larsen, 2021. "Components Of Uncertainty," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 62(2), pages 769-788, May.
  12. Hossein Hassani & Mohammad Reza Yeganegi & Rangan Gupta, 2020. "Historical Forecasting Of Interest Rate Mean And Volatility Of The United States: Is There A Role Of Uncertainty?," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 15(04), pages 1-17, December.
  13. Yun Liu & Dengshi Huang & Jianan Zhou & Sirui Wang, 2024. "Does image sentiment of major public emergency affect the stock market performance? New insight from deep learning techniques," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 64(4), pages 4447-4472, December.
  14. Pandey, Dharen Kumar & Lucey, Brian M. & Kumar, Satish, 2023. "Border disputes, conflicts, war, and financial markets research: A systematic review," Research in International Business and Finance, Elsevier, vol. 65(C).
  15. Sang Byung Seo & Jessica A. Wachter, 2019. "Option Prices in a Model with Stochastic Disaster Risk," Management Science, INFORMS, vol. 65(8), pages 3449-3469, August.
  16. Wen, Jun & Zhao, Xin-Xin & Chang, Chun-Ping, 2021. "The impact of extreme events on energy price risk," Energy Economics, Elsevier, vol. 99(C).
  17. Trebbi, Giovanni, 2025. "Inflation narratives and expectations," Working Paper Series 3158, European Central Bank.
  18. Rangan Gupta & Tahir Suleman & Mark E. Wohar, 2019. "The role of time‐varying rare disaster risks in predicting bond returns and volatility," Review of Financial Economics, John Wiley & Sons, vol. 37(3), pages 327-340, July.
  19. Marfè, Roberto & Pénasse, Julien, 2024. "Measuring macroeconomic tail risk," Journal of Financial Economics, Elsevier, vol. 156(C).
  20. Demirer, Riza & Gupta, Rangan & Suleman, Tahir & Wohar, Mark E., 2018. "Time-varying rare disaster risks, oil returns and volatility," Energy Economics, Elsevier, vol. 75(C), pages 239-248.
  21. Alejandro Lopez-Lira & Yuehua Tang, 2023. "Can ChatGPT Forecast Stock Price Movements? Return Predictability and Large Language Models," Papers 2304.07619, arXiv.org, revised Oct 2025.
  22. Philip Barrett & Mariia Bondar & Sophia Chen & Mali Chivakul & Deniz Igan, 2024. "Pricing protest: the response of financial markets to social unrest," Review of Finance, European Finance Association, vol. 28(4), pages 1419-1450.
  23. Christian Schlag & Michael Semenischev & Julian Thimme, 2021. "Predictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing Models," Management Science, INFORMS, vol. 67(12), pages 7932-7950, December.
  24. Goemans, Pascal, 2020. "Government Spending in Uncertain and Slack Times: Historical Evidence for Larger Fiscal Multipliers," VfS Annual Conference 2020 (Virtual Conference): Gender Economics 224642, Verein für Socialpolitik / German Economic Association.
  25. Yaojie Zhang & Mengxi He & Zhikai Zhang, 2024. "Forecasting stock returns with industry volatility concentration," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(7), pages 2705-2730, November.
  26. Jin, Xuejun & Chen, Cheng & Yang, Xiaolan, 2024. "The effect of international media news on the global stock market," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 50-69.
  27. Zhang, Yaojie & Zeng, Qing & Ma, Feng & Shi, Benshan, 2019. "Forecasting stock returns: Do less powerful predictors help?," Economic Modelling, Elsevier, vol. 78(C), pages 32-39.
  28. Kirtac, Kemal & Germano, Guido, 2024. "Sentiment trading with large language models," Finance Research Letters, Elsevier, vol. 62(PB).
  29. Kohns, David & Bhattacharjee, Arnab, 2023. "Nowcasting growth using Google Trends data: A Bayesian Structural Time Series model," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1384-1412.
  30. Pan, Zhiyuan & Pettenuzzo, Davide & Wang, Yudong, 2020. "Forecasting stock returns: A predictor-constrained approach," Journal of Empirical Finance, Elsevier, vol. 55(C), pages 200-217.
  31. Zahid Jumah & Nabeel Safdar & Zahid Irshad Younas & Adeel Ahmed, 2024. "Economic policy uncertainty, corporate diversification and firm value: the global evidence," Quality & Quantity: International Journal of Methodology, Springer, vol. 58(3), pages 2677-2707, June.
  32. Yang Liu & Liyan Han & Libo Yin, 2018. "Does news uncertainty matter for commodity futures markets? Heterogeneity in energy and non‐energy sectors," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(10), pages 1246-1261, October.
  33. Fraiberger, Samuel P. & Lee, Do & Puy, Damien & Ranciere, Romain, 2021. "Media sentiment and international asset prices," Journal of International Economics, Elsevier, vol. 133(C).
  34. Dasol Kim & William Goetzmann & Robert Shiller, 2023. "Crash Narratives," Working Papers 23-10, Office of Financial Research, US Department of the Treasury.
  35. Scott R. Baker & Nicholas Bloom & Steven J. Davis & Marco C. Sammon, 2021. "What Triggers Stock Market Jumps?," NBER Working Papers 28687, National Bureau of Economic Research, Inc.
  36. Oana Panazan & Catalin Gheorghe, 2024. "Impact of Geopolitical Risk on G7 Financial Markets: A Comparative Wavelet Analysis between 2014 and 2022," Mathematics, MDPI, vol. 12(3), pages 1-22, January.
  37. Yi Li & Dehua Shen & Pengfei Wang & Wei Zhang, 2021. "Investor reactions to local and overseas news: Evidence from A‐ and H‐shares in China," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4190-4225, July.
  38. Pascal Goemans, 2022. "Historical evidence for larger government spending multipliers in uncertain times than in slumps," Economic Inquiry, Western Economic Association International, vol. 60(3), pages 1164-1185, July.
  39. Yi‐Ting Peng & Tsangyao Chang & Omid Ranjbar, 2022. "Analyzing the degree of persistence of economic policy uncertainty using linear and non‐linear fourier quantile unit root tests," Manchester School, University of Manchester, vol. 90(4), pages 453-471, July.
  40. Boniface Yemba & Yi Duan & Nabaneeta Biswas, 2023. "Government spending news and stock price index," Economics Bulletin, AccessEcon, vol. 43(4), pages 1816-1841.
  41. Al-Thaqeb, Saud Asaad & Algharabali, Barrak Ghanim, 2019. "Economic policy uncertainty: A literature review," The Journal of Economic Asymmetries, Elsevier, vol. 20(C).
  42. Bahram Adrangi & Arjun Chatrath & Saman Hatamerad & Kambiz Raffiee, 2025. "Equity Markets Volatility, Regime Dependence and Economic Uncertainty: The Case of Pacific Basin," Bulletin of Applied Economics, Risk Market Journals, vol. 12(1), pages 75-105.
  43. Refk Selmi & Christos Kollias & Stephanos Papadamou & Rangan Gupta, 2017. "A Copula-Based Quantile-on-Quantile Regression Approach to Modeling Dependence Structure between Stock and Bond Returns: Evidence from Historical Data of India, South Africa, UK and US," Working Papers 201747, University of Pretoria, Department of Economics.
  44. Karsten Müller, 2022. "German forecasters’ narratives: How informative are German business cycle forecast reports?," Empirical Economics, Springer, vol. 62(5), pages 2373-2415, May.
  45. Tim Munday & James Brookes, 2021. "Mark my words: the transmission of central bank communication to the general public via the print media," Bank of England working papers 944, Bank of England.
  46. Hadhri, Sinda & Younus, Mehak & Naeem, Muhammad Abubakr & Yarovaya, Larisa, 2025. "Listening to the Market: Music sentiment and cryptocurrency returns," Journal of International Money and Finance, Elsevier, vol. 157(C).
  47. Le, Trung H. & Pham, Linh & Do, Hung X., 2023. "Price risk transmissions in the water-energy-food nexus: Impacts of climate risks and portfolio implications," Energy Economics, Elsevier, vol. 124(C).
  48. Qi Xu & Yang Ye, 2023. "Commodity network and predictable returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(10), pages 1423-1449, October.
  49. Müller, Henrik & Blagov, Boris & Schmidt, Torsten & Rieger, Jonas & Jentsch, Carsten, 2025. "The macroeconomic impact of asymmetric uncertainty shocks," The Journal of Economic Asymmetries, Elsevier, vol. 31(C).
  50. Tong Fang & Libo Yin, 2025. "Hedging Climate Change News With Commodity Futures: An Index‐Tracking Approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(9), pages 1361-1387, September.
  51. Mohrschladt, Hannes & Langer, Thomas, 2020. "Biased information weight processing in stock markets," Journal of Empirical Finance, Elsevier, vol. 57(C), pages 89-106.
  52. Baur, Dirk G. & Smales, Lee A., 2020. "Hedging geopolitical risk with precious metals," Journal of Banking & Finance, Elsevier, vol. 117(C).
  53. Stolbov, Mikhail & Shchepeleva, Maria & Karminsky, Alexander, 2022. "When central bank research meets Google search: A sentiment index of global financial stress," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
  54. Cao, Zhen & Han, Liyan & Wei, Xinbei & Zhang, Qunzi, 2022. "Fear in commodity return prediction," Finance Research Letters, Elsevier, vol. 46(PB).
  55. Gustavo S Cortes & Marc D Weidenmier, 2019. "Stock Volatility and the Great Depression," The Review of Financial Studies, Society for Financial Studies, vol. 32(9), pages 3544-3570.
  56. Hwang, Youngjin, 2019. "Forecasting recessions with time-varying models," Journal of Macroeconomics, Elsevier, vol. 62(C).
  57. Yong Qu & Ying Yuan, 2025. "Predicting Equity Premium: A New Momentum Indicator Selection Strategy With Machine Learning," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 44(2), pages 424-435, March.
  58. Zaremba, Adam & Kizys, Renatas & Aharon, David Y. & Demir, Ender, 2020. "Infected Markets: Novel Coronavirus, Government Interventions, and Stock Return Volatility around the Globe," Finance Research Letters, Elsevier, vol. 35(C).
  59. Zhou, Yuqin & Liu, Zhenhua & Wu, Shan, 2022. "The global economic policy uncertainty spillover analysis: In the background of COVID-19 pandemic," Research in International Business and Finance, Elsevier, vol. 61(C).
  60. Mangee, Nicholas, 2024. "Stock price swings and fundamentals: The role of Knightian uncertainty," International Review of Financial Analysis, Elsevier, vol. 91(C).
  61. Babolmorad, N. & Massoud, N., 2025. "Supervising Sentiment Models: Market Signals or Human Expertise?," Cambridge Working Papers in Economics 2577, Faculty of Economics, University of Cambridge.
  62. Mohd Ziaur Rehman & Shabeer Khan & Ghulam Abbas & Mohammed Alhashim, 2023. "Novel COVID-19 Outbreak and Global Uncertainty in the Top-10 Affected Countries: Evidence from Wavelet Coherence Approach," Sustainability, MDPI, vol. 15(6), pages 1-20, March.
  63. Himounet, Nicolas, 2022. "Searching the nature of uncertainty: Macroeconomic and financial risks VS geopolitical and pandemic risks," International Economics, Elsevier, vol. 170(C), pages 1-31.
  64. Loughran, Tim & McDonald, Bill & Pragidis, Ioannis, 2019. "Assimilation of oil news into prices," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 105-118.
  65. Chang, Dongfeng & Li, Jin & Miao, Chenglin, 2025. "Economic policy uncertainty and financial innovations: A perspective from spillovers in energy exchange-traded funds," Energy Economics, Elsevier, vol. 150(C).
  66. Nguyen, Dat Thanh & Phan, Dinh Hoang Bach & Ming, Tee Chwee & Nguyen, Van Ky Long, 2021. "An assessment of how COVID-19 changed the global equity market," Economic Analysis and Policy, Elsevier, vol. 69(C), pages 480-491.
  67. Snarska, Małgorzata & Frydrych, Sylwia & Łukowski, Michał & Czech, Maria & Perez, Katarzyna, 2025. "Semiconductor game of thrones: A comprehensive study of geopolitical and equity market uncertainty transmission," International Review of Financial Analysis, Elsevier, vol. 106(C).
  68. Tengfei Zhang, 2020. "Manager Uncertainty and Cross-Sectional Stock Returns," 2020 Papers pzh934, Job Market Papers.
  69. Curti, Filippo & Kazinnik, Sophia, 2023. "Let's face it: Quantifying the impact of nonverbal communication in FOMC press conferences," Journal of Monetary Economics, Elsevier, vol. 139(C), pages 110-126.
  70. Dim, Chukwuma & Koerner, Kevin & Wolski, Marcin & Zwart, Sanne, 2022. "Hot off the press: News-implied sovereign default risk," EIB Working Papers 2022/06, European Investment Bank (EIB).
  71. Manish Jha, 2024. "Do Activists Align with Larger Mutual Funds?," Papers 2411.16553, arXiv.org.
  72. Perico Ortiz, Daniel & Schnaubelt, Matthias & Seifert, Oleg, 2023. "A topic modeling perspective on investor uncertainty," FAU Discussion Papers in Economics 04/2023, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
  73. Matthew Bamber & Santhosh Abraham, 2020. "On the “Realities” of Investor‐Manager Interactivity: Baudrillard, Hyperreality, and Management Q&A Sessions†," Contemporary Accounting Research, John Wiley & Sons, vol. 37(2), pages 1290-1325, June.
  74. Zhen Cao & Jiancheng Shen & Xinbei Wei & Qunzi Zhang, 2023. "Anger in predicting the index futures returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(4), pages 437-454, April.
  75. Vrontos, Spyridon D. & Galakis, John & Vrontos, Ioannis D., 2021. "Modeling and predicting U.S. recessions using machine learning techniques," International Journal of Forecasting, Elsevier, vol. 37(2), pages 647-671.
  76. Yutaka Kurihara, 2018. "Occurred Uncertainty by ‘News’ in Japanese Short- and Long-Term Financial Markets," International Journal of Economics and Financial Research, Academic Research Publishing Group, vol. 4(4), pages 93-98, 04-2018.
  77. Michael Hasler & Charles Martineau, 2023. "Explaining the Failure of the Unconditional CAPM with the Conditional CAPM," Management Science, INFORMS, vol. 69(3), pages 1835-1855, March.
  78. Söhnke M. Bartram & Gregory Brown & René M. Stulz, 2016. "Why Does Idiosyncratic Risk Increase with Market Risk?," NBER Working Papers 22492, National Bureau of Economic Research, Inc.
  79. Abdollahi, Hooman & Fjesme, Sturla L. & Sirnes, Espen, 2024. "Measuring market volatility connectedness to media sentiment," The North American Journal of Economics and Finance, Elsevier, vol. 71(C).
  80. Sun, Yulong & Wang, Kai & Zhou, Zhiping, 2025. "Fear propagation and return dynamics," Journal of Banking & Finance, Elsevier, vol. 173(C).
  81. Hoang, Daniel & Wiegratz, Kevin, 2022. "Machine learning methods in finance: Recent applications and prospects," Working Paper Series in Economics 158, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
  82. Schlag, Christian & Semenischev, Michael & Thimme, Julian, 2020. "Predictability and the cross-section of expected returns: A challenge for asset pricing models," SAFE Working Paper Series 289, Leibniz Institute for Financial Research SAFE.
  83. Söhnke M. Bartram & Jürgen Branke & Mehrshad Motahari, 2020. "Artificial intelligence in asset management," Working Papers 20202001, Cambridge Judge Business School, University of Cambridge.
  84. Ender Demir & Renatas Kizys & Wael Rouatbi & Adam Zaremba, 2022. "Sail Away to a Safe Harbor? COVID-19 Vaccinations and the Volatility of Travel and Leisure Companies," JRFM, MDPI, vol. 15(4), pages 1-21, April.
  85. Hao, Yijun & Su, Hao & Zhu, Xiaoneng, 2020. "Rare disaster concerns and economic fluctuations," Economics Letters, Elsevier, vol. 195(C).
  86. Ma, Tian & Li, Ganghui & Zhang, Huajing, 2024. "Stock return predictability using economic narrative: Evidence from energy sectors," Journal of Commodity Markets, Elsevier, vol. 35(C).
  87. Li, Jiaqi & Ahn, Hee-Joon, 2024. "Sensitivity of Chinese stock markets to individual investor sentiment: An analysis of Sina Weibo mood related to COVID-19," Journal of Behavioral and Experimental Finance, Elsevier, vol. 41(C).
  88. Huang, Darien & Kilic, Mete, 2019. "Gold, platinum, and expected stock returns," Journal of Financial Economics, Elsevier, vol. 132(3), pages 50-75.
  89. Gupta, Rangan & Mwamba, John W. Muteba & Wohar, Mark E., 2018. "The role of partisan conflict in forecasting the U.S. equity premium: A nonparametric approach," Finance Research Letters, Elsevier, vol. 25(C), pages 131-136.
  90. Wang, Yudong & Pan, Zhiyuan & Wu, Chongfeng & Wu, Wenfeng, 2020. "Industry equi-correlation: A powerful predictor of stock returns," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 1-24.
  91. Johnson, James A. & Medeiros, Marcelo C. & Paye, Bradley S., 2022. "Jumps in stock prices: New insights from old data," Journal of Financial Markets, Elsevier, vol. 60(C).
  92. Gupta, Rangan & Ma, Jun & Risse, Marian & Wohar, Mark E., 2018. "Common business cycles and volatilities in US states and MSAs: The role of economic uncertainty," Journal of Macroeconomics, Elsevier, vol. 57(C), pages 317-337.
  93. Nagel, Stefan & Xu, Zhengyang, 2023. "Dynamics of subjective risk premia," Journal of Financial Economics, Elsevier, vol. 150(2).
  94. Kemal Kirtac & Guido Germano, 2025. "Large language models in finance : what is financial sentiment?," Papers 2503.03612, arXiv.org, revised Mar 2025.
  95. Birru, Justin & Young, Trevor, 2022. "Sentiment and uncertainty," Journal of Financial Economics, Elsevier, vol. 146(3), pages 1148-1169.
  96. Luu Duc Huynh, Toan, 2020. "The effect of uncertainty on the precious metals market: New insights from Transfer Entropy and Neural Network VAR," Resources Policy, Elsevier, vol. 66(C).
  97. Dai, Zhifeng & Zhu, Huan, 2021. "Indicator selection and stock return predictability," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  98. Gkillas, Konstantinos & Gupta, Rangan & Wohar, Mark E., 2018. "Volatility jumps: The role of geopolitical risks," Finance Research Letters, Elsevier, vol. 27(C), pages 247-258.
  99. Fang, Tong & Su, Zhi & Yin, Libo, 2020. "Economic fundamentals or investor perceptions? The role of uncertainty in predicting long-term cryptocurrency volatility," International Review of Financial Analysis, Elsevier, vol. 71(C).
  100. Bryan T. Kelly & Asaf Manela & Alan Moreira, 2019. "Text Selection," NBER Working Papers 26517, National Bureau of Economic Research, Inc.
  101. Kyoto Yono & Hiroki Sakaji & Hiroyasu Matsushima & Takashi Shimada & Kiyoshi Izumi, 2020. "Construction of Macroeconomic Uncertainty Indices for Financial Market Analysis Using a Supervised Topic Model," JRFM, MDPI, vol. 13(4), pages 1-18, April.
  102. Jiang, Fuwei & Kang, Jie & Meng, Lingchao, 2024. "Certainty of uncertainty for asset pricing," Journal of Empirical Finance, Elsevier, vol. 78(C).
  103. Qunzi Zhang, 2021. "One hundred years of rare disaster concerns and commodity prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(12), pages 1891-1915, December.
  104. Ziadat, Salem Adel & Al Rababa'a, Abdel Razzaq A. & Rehman, Mobeen & McMillan, David G., 2023. "Oil price shocks and stock–bond correlation," The North American Journal of Economics and Finance, Elsevier, vol. 68(C).
  105. Dai, Zhifeng & Dong, Xiaodi & Kang, Jie & Hong, Lianying, 2020. "Forecasting stock market returns: New technical indicators and two-step economic constraint method," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
  106. Andres Algaba & David Ardia & Keven Bluteau & Samuel Borms & Kris Boudt, 2020. "Econometrics Meets Sentiment: An Overview Of Methodology And Applications," Journal of Economic Surveys, Wiley Blackwell, vol. 34(3), pages 512-547, July.
  107. Kanelis, Dimitrios & Siklos, Pierre L., 2025. "Emotion in euro area monetary policy communication and bond yields: The Draghi era," Discussion Papers 16/2025, Deutsche Bundesbank.
  108. Al-Shboul, Mohammad & Assaf, Ata & Mokni, Khaled, 2023. "Does economic policy uncertainty drive the dynamic spillover among traditional currencies and cryptocurrencies? The role of the COVID-19 pandemic," Research in International Business and Finance, Elsevier, vol. 64(C).
  109. Bonsall, Samuel B. & Green, Jeremiah & Muller, Karl A., 2020. "Market uncertainty and the importance of media coverage at earnings announcements," Journal of Accounting and Economics, Elsevier, vol. 69(1).
  110. Peng, Yi-Ting & Chang, Tsangyao & Ranjbar, Omid & Xiang, Feiyun, 2024. "Has the COVID-19 pandemic shock transmitted to the u.s. stock market: Evidence using bootstrap (A)symmetric fourier granger causality test in quantiles," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
  111. Bao, Jack & Hou, Kewei & Zhang, Shaojun, 2023. "Systematic default and return predictability in the stock and bond markets," Journal of Financial Economics, Elsevier, vol. 149(3), pages 349-377.
  112. Bahram Adrangi & Saman Hatamerad & Ales Kresta & Tomas Tichy, 2025. "Uncertainty and Volatility: Sectoral Equity Responses to Economic and Policy Shocks in the U.S," Bulletin of Applied Economics, Risk Market Journals, vol. 12(2), pages 77-110.
  113. Su, Hao & Ying, Chengwei & Zhu, Xiaoneng, 2022. "Disaster risk matters in the bond market," Finance Research Letters, Elsevier, vol. 47(PA).
  114. Chowdhury, Md Shahedur R. & Damianov, Damian S., 2024. "Uncertainty and bubbles in cryptocurrencies: Evidence from newly developed uncertainty indices," International Review of Financial Analysis, Elsevier, vol. 91(C).
  115. Qadan, Mahmoud & Idilbi, Yasmeen, 2022. "Presidential honeymoons, political cycles and the commodity market," Resources Policy, Elsevier, vol. 77(C).
  116. Bouri, Elie & Gupta, Rangan & Pierdzioch, Christian & Polat, Onur, 2024. "Forecasting U.S. recessions using over 150 years of data: Stock-market moments versus oil-market moments," Finance Research Letters, Elsevier, vol. 69(PB).
  117. Fang, Libing & Qian, Yichuo & Chen, Ying & Yu, Honghai, 2018. "How does stock market volatility react to NVIX? Evidence from developed countries," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 490-499.
  118. Nazemi, Abdolreza & Baumann, Friedrich & Fabozzi, Frank J., 2022. "Intertemporal defaulted bond recoveries prediction via machine learning," European Journal of Operational Research, Elsevier, vol. 297(3), pages 1162-1177.
  119. Ali Kabiri & Harold James & John Landon‐Lane & David Tuckett & Rickard Nyman, 2023. "The role of sentiment in the US economy: 1920 to 1934," Economic History Review, Economic History Society, vol. 76(1), pages 3-30, February.
  120. Abdollah Ah Mand, 2025. "Cryptocurrency returns and cryptocurrency uncertainty: a time–frequency analysis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-29, December.
  121. Filippou, Ilias & Gozluklu, Arie & Rozental, Hari, 2024. "ETF arbitrage and international diversification," Journal of Banking & Finance, Elsevier, vol. 168(C).
  122. Su, Zhi & Fang, Tong & Yin, Libo, 2019. "Understanding stock market volatility: What is the role of U.S. uncertainty?," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 582-590.
  123. Aglaya Batz & David F. D’Croz-Barón & Carlos Jesús Vega Pérez & Carlos A. Ojeda-Sanchez, 2025. "Integrating machine learning into business and management in the age of artificial intelligence," Humanities and Social Sciences Communications, Palgrave Macmillan, vol. 12(1), pages 1-20, December.
  124. Tom Marty & Bruce Vanstone & Tobias Hahn, 2020. "News media analytics in finance: a survey," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(2), pages 1385-1434, June.
  125. Yensen Ni, 2024. "Navigating Energy and Financial Markets: A Review of Technical Analysis Used and Further Investigation from Various Perspectives," Energies, MDPI, vol. 17(12), pages 1-22, June.
  126. Hua, Renhai & Liu, Qingfu & Tse, Yiuman & Yu, Qin, 2023. "The impact of natural disaster risk on the return of agricultural futures," Journal of Asian Economics, Elsevier, vol. 87(C).
  127. Han, Chen & Wu, Chengliang & Wei, Lu, 2023. "The impact of the disclosure characteristics of the application material on the successful listing of companies on China’s Science and Technology Innovation Board," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).
  128. Conlon, Thomas & Corbet, Shaen & Goodell, John W. & Hou, Yang (Greg) & Oxley, Les, 2024. "Financial market information flows when counteracting rogue states: The indirect effects of targeted sanction packages," Journal of Economic Behavior & Organization, Elsevier, vol. 217(C), pages 32-62.
  129. Yue, Tian & Li, Lu-Lu & Ruan, Xinfeng & Zhang, Jin E., 2024. "Smirking in the energy market: Evidence from the Chinese crude oil options market," International Review of Financial Analysis, Elsevier, vol. 96(PA).
  130. Kim, Jeong-Bon & Tseng, Kevin & Wang, Jundong (Jeff) & Xi, Yaoyi, 2024. "Policy uncertainty, bad news disclosure, and stock price crash risk," Journal of Empirical Finance, Elsevier, vol. 78(C).
  131. Evangelos Liaras & Michail Nerantzidis & Antonios Alexandridis, 2024. "Machine learning in accounting and finance research: a literature review," Review of Quantitative Finance and Accounting, Springer, vol. 63(4), pages 1431-1471, November.
  132. Songrun He & Linying Lv & Asaf Manela & Jimmy Wu, 2025. "Chronologically Consistent Large Language Models," Papers 2502.21206, arXiv.org, revised Jul 2025.
  133. Arteaga-Garavito, Maria Jose & Croce, Mariano M. & Farroni, Paolo & Wolfskeil, Isabella, 2024. "When the markets get CO.V.I.D: COntagion, Viruses, and Information Diffusion," Journal of Financial Economics, Elsevier, vol. 157(C).
  134. Malik, Ali K. & Colak, Gonul & Löflund, Anders, 2024. "Gold, platinum, and mutual fund flows," Journal of Empirical Finance, Elsevier, vol. 79(C).
  135. Jesús Villota, 2025. "Predicting Market Reactions to News: An LLM-Based Approach Using Spanish Business Articles," Working Papers wp2025_2501, CEMFI.
  136. Inzamam Ul Haq & Apichit Maneengam & Supat Chupradit & Wanich Suksatan & Chunhui Huo, 2021. "Economic Policy Uncertainty and Cryptocurrency Market as a Risk Management Avenue: A Systematic Review," Risks, MDPI, vol. 9(9), pages 1-24, September.
  137. Yongsheng Yi & Feng Ma & Dengshi Huang & Yaojie Zhang, 2019. "Interest rate level and stock return predictability," Review of Financial Economics, John Wiley & Sons, vol. 37(4), pages 506-522, October.
  138. Gang Kou & Yang Lu, 2025. "FinTech: a literature review of emerging financial technologies and applications," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-34, December.
  139. Conrad, Christian & Glas, Alexander, 2018. "‘Déjà vol’ revisited: Survey forecasts of macroeconomic variables predict volatility in the cross-section of industry portfolios," Working Papers 0655, University of Heidelberg, Department of Economics.
  140. Obaid, Khaled & Pukthuanthong, Kuntara, 2022. "A picture is worth a thousand words: Measuring investor sentiment by combining machine learning and photos from news," Journal of Financial Economics, Elsevier, vol. 144(1), pages 273-297.
  141. Dai, Zhifeng & Zhu, Huan & Kang, Jie, 2021. "New technical indicators and stock returns predictability," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 127-142.
  142. Wang, Jiazhen & Fang, Yvonne & Hu, Xiaolu & Zhong, Angel, 2024. "War discourse and global equity returns," Finance Research Letters, Elsevier, vol. 69(PA).
  143. Linyi Yang & Jiazheng Li & Ruihai Dong & Yue Zhang & Barry Smyth, 2022. "NumHTML: Numeric-Oriented Hierarchical Transformer Model for Multi-task Financial Forecasting," Papers 2201.01770, arXiv.org.
  144. Amer Demirovic & Ali Kabiri & David Tuckett & Rickard Nyman, 2020. "A common risk factor and the correlation between equity and corporate bond returns," Journal of Asset Management, Palgrave Macmillan, vol. 21(2), pages 119-134, March.
  145. Ying Jiang & Xiaoquan Liu & Zhenyu Lu, 2025. "Cross‐Sectoral Crash Risk and Expected Commodity Futures Returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(10), pages 1636-1664, October.
  146. Bahram Adrangi & Arjun Chatrath & Madhuparna Kolay & Kambiz Raffiee, 2025. "Enterprise value, economic and policy uncertainties: the case of US air carriers," Papers 2506.07766, arXiv.org.
  147. Roman Frydman & Nicholas Mangee, 2021. "Expectations Concordance and Stock Market Volatility: Knightian Uncertainty in the Year of the Pandemic," JRFM, MDPI, vol. 14(11), pages 1-13, November.
  148. Faccini, Renato & Matin, Rastin & Skiadopoulos, George, 2023. "Dissecting climate risks: Are they reflected in stock prices?," Journal of Banking & Finance, Elsevier, vol. 155(C).
  149. Azevedo, Luis Fernando Pereira & Pereira, Pedro L. Valls, 2018. "Effects of official and unofficial central bank communication on the Brazilian interest rate curve," Textos para discussão 470, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
  150. Matteo Bonato & Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2024. "Forecasting the realized volatility of agricultural commodity prices: Does sentiment matter?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(6), pages 2088-2125, September.
  151. Alexander M. Chinco & Adam D. Clark-Joseph & Mao Ye, 2017. "Sparse Signals in the Cross-Section of Returns," NBER Working Papers 23933, National Bureau of Economic Research, Inc.
  152. Laurent Ferrara & Stéphane Lhuissier & Fabien Tripier, 2018. "Uncertainty Fluctuations: Measures, Effects and Macroeconomic Policy Challenges," Financial and Monetary Policy Studies, in: Laurent Ferrara & Ignacio Hernando & Daniela Marconi (ed.), International Macroeconomics in the Wake of the Global Financial Crisis, pages 159-181, Springer.
  153. Noor Zahirah Mohd Sidek & Bhuk Kiranantawat & Martusorn Khaengkhan, 2022. "The Impact of Uncertainty on Trade: The Case for a Small Port," Economies, MDPI, vol. 10(8), pages 1-18, August.
  154. Pierdzioch Christian & Gupta Rangan, 2020. "Uncertainty and Forecasts of U.S. Recessions," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(4), pages 1-20, September.
  155. Seok, Sangik & Cho, Hoon & Ryu, Doojin, 2024. "Dual effects of investor sentiment and uncertainty in financial markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 95(C), pages 300-315.
  156. Yuan, Ying & Qu, Yong & Wang, Tianyang, 2025. "Predicting risk premiums: A constraint-based model," Journal of Empirical Finance, Elsevier, vol. 83(C).
  157. Liu, Yang & Han, Liyan & Xu, Yang, 2021. "The impact of geopolitical uncertainty on energy volatility," International Review of Financial Analysis, Elsevier, vol. 75(C).
  158. Su, Zhi & Lu, Man & Yin, Libo, 2018. "Oil prices and news-based uncertainty: Novel evidence," Energy Economics, Elsevier, vol. 72(C), pages 331-340.
  159. Dutta, Anupam & Bouri, Elie & Saeed, Tareq, 2021. "News-based equity market uncertainty and crude oil volatility," Energy, Elsevier, vol. 222(C).
  160. He, Mengxi & Zhang, Yaojie, 2022. "Climate policy uncertainty and the stock return predictability of the oil industry," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
  161. Bahram Adrangi & Arjun Chatrath & Saman Hatamerad & Kambiz Raffiee, 2025. "Equity Markets Volatility, Regime Dependence and Economic Uncertainty: The Case of Pacific Basin," Papers 2507.05552, arXiv.org.
  162. Yuanzhi Wang & Xinbei Wei & Qunzi Zhang, 2025. "Asymmetric Commodity Tails and Index Futures Returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(3), pages 247-265, March.
  163. Jian Chen & Guohao Tang & Guofu Zhou & Wu Zhu, 2025. "ChatGPT and Deepseek: Can They Predict the Stock Market and Macroeconomy?," Papers 2502.10008, arXiv.org.
  164. Jiang, Fuwei & Liu, Hongkui & Tang, Guohao & Yu, Jiasheng, 2024. "Global mispricing matters," Journal of International Money and Finance, Elsevier, vol. 147(C).
  165. Baker, Scott R. & Bloom, Nicholas & Davis, Steven J. & Kost, Kyle, 2026. "Policy news and stock market volatility," Journal of Financial Economics, Elsevier, vol. 175(C).
  166. Hedi Ben Haddad & Imed Mezghani & Imed Medhioub & Sohale Altamimi, 2024. "Spillover effects of disaggregated macroeconomic uncertainties on U.S. real activity: evidence from the quantile vector autoregressive connectedness approach," Empirical Economics, Springer, vol. 66(2), pages 829-858, February.
  167. Fulop, Andras & Kocsis, Zalan, 2023. "News indices on country fundamentals," Journal of Banking & Finance, Elsevier, vol. 154(C).
  168. Czudaj, Robert L., 2019. "Crude oil futures trading and uncertainty," Energy Economics, Elsevier, vol. 80(C), pages 793-811.
  169. Tarek A. Hassan & Stephan Hollander & Laurence Van Lent & Ahmed Tahoun, 2024. "The Global Impact of Brexit Uncertainty," Journal of Finance, American Finance Association, vol. 79(1), pages 413-458, February.
  170. Ehrmann, Michael & Gnan, Phillipp & Rieder, Kilian, 2023. "Central Bank Communication by ??? The Economics of Public Policy Leaks," CEPR Discussion Papers 18152, C.E.P.R. Discussion Papers.
  171. Luiz Renato Lima & Lucas Lúcio Godeiro, 2023. "Equity‐premium prediction: Attention is all you need," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(1), pages 105-122, January.
  172. Ahmed, Shamima & Alshater, Muneer M. & Ammari, Anis El & Hammami, Helmi, 2022. "Artificial intelligence and machine learning in finance: A bibliometric review," Research in International Business and Finance, Elsevier, vol. 61(C).
  173. Guofu Zhou, 2018. "Measuring Investor Sentiment," Annual Review of Financial Economics, Annual Reviews, vol. 10(1), pages 239-259, November.
  174. John Donovan & Jared Jennings & Kevin Koharki & Joshua Lee, 2021. "Measuring credit risk using qualitative disclosure," Review of Accounting Studies, Springer, vol. 26(2), pages 815-863, June.
  175. Besley, Timothy & Fetzer, Thiemo & Mueller, Hannes, 2019. "Terror and Tourism: The Economic Consequences of Media Coverage," CAGE Online Working Paper Series 449, Competitive Advantage in the Global Economy (CAGE).
  176. Lucey, Brian M. & Vigne, Samuel A. & Yarovaya, Larisa & Wang, Yizhi, 2022. "The cryptocurrency uncertainty index," Finance Research Letters, Elsevier, vol. 45(C).
  177. Dai, Peng-Fei & Xiong, Xiong & Zhang, Jin & Zhou, Wei-Xing, 2022. "The role of global economic policy uncertainty in predicting crude oil futures volatility: Evidence from a two-factor GARCH-MIDAS model," Resources Policy, Elsevier, vol. 78(C).
  178. Sanford, Anthony, 2024. "Information content of option prices: Comparing analyst forecasts to option-based forecasts," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
  179. Li, Zhinan & Ren, Yaqi & Shen, Peilong & Zhang, Can, 2025. "Does textual risk information from individual banks exacerbate systemic risk? Evidence from the Chinese banking system," Economic Modelling, Elsevier, vol. 152(C).
  180. Fang, Tong & Lee, Tae-Hwy & Su, Zhi, 2020. "Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 36-49.
  181. Yao Ge & Zheng Qiao & Zhe Shen & Zhiyu Zhang, 2023. "Production similarity and the cross‐section of stock returns: A machine learning approach," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(5), pages 4849-4882, December.
  182. Li, Zhao-Chen & Xie, Chi & Zeng, Zhi-Jian & Wang, Gang-Jin & Zhang, Ting, 2023. "Forecasting global stock market volatilities in an uncertain world," International Review of Financial Analysis, Elsevier, vol. 85(C).
  183. Szczygielski, Jan Jakub & Charteris, Ailie & Obojska, Lidia & Brzeszczyński, Janusz, 2024. "Capturing the timing of crisis evolution: A machine learning and directional wavelet coherence approach to isolating event-specific uncertainty using Google searches with an application to COVID-19," Technological Forecasting and Social Change, Elsevier, vol. 205(C).
  184. Paul E. Soto, 2021. "Breaking the Word Bank: Measurement and Effects of Bank Level Uncertainty," Journal of Financial Services Research, Springer;Western Finance Association, vol. 59(1), pages 1-45, April.
  185. Hitesh Doshi & Hyung Joo Kim & Sang Byung Seo, 2023. "Options on Interbank Rates and Implied Disaster Risk," Finance and Economics Discussion Series 2023-054r1, Board of Governors of the Federal Reserve System (U.S.), revised 14 Aug 2025.
  186. Mert Topcu & Ibrahim Yagli & Furkan Emirmahmutoglu, 2021. "COVID-19 and stock market volatility: A time-varying perspective," Economics Bulletin, AccessEcon, vol. 41(3), pages 1681-1689.
  187. Bahram Adrangi & Arjun Chatrath & Kambiz Raffiee, 2025. "Latin American Equities, Volatility Regimes, and the US Economic Policy Uncertainty," Bulletin of Applied Economics, Risk Market Journals, vol. 12(2), pages 15-44.
  188. Dai, Zhifeng & Jiang, Fuwei & Kang, Jie & Xue, Bowen, 2025. "Stock return predictability in the frequency domain," International Journal of Forecasting, Elsevier, vol. 41(3), pages 1126-1147.
  189. Liu, Qingbai & Wang, Chuanjie & Zhang, Ping & Zheng, Kaixin, 2021. "Detecting stock market manipulation via machine learning: Evidence from China Securities Regulatory Commission punishment cases," International Review of Financial Analysis, Elsevier, vol. 78(C).
  190. Yong Ma & Lu Yan & Dongtao Pan, 2024. "The power of news data in forecasting tail risk: evidence from China," Empirical Economics, Springer, vol. 67(6), pages 2607-2642, December.
  191. Dbouk, Wassim & Moussawi-Haidar, Lama & Jaber, Mohamad Y., 2020. "The effect of economic uncertainty on inventory and working capital for manufacturing firms," International Journal of Production Economics, Elsevier, vol. 230(C).
  192. Szczygielski, Jan Jakub & Charteris, Ailie & Bwanya, Princess Rutendo & Brzeszczyński, Janusz, 2024. "Google search trends and stock markets: Sentiment, attention or uncertainty?," International Review of Financial Analysis, Elsevier, vol. 91(C).
  193. Li, Cong & Lin, Shiwei & Sun, Yihan & Afshan, Sahar & Yaqoob, Tanzeela, 2022. "The asymmetric effect of oil price, news-based uncertainty, and COVID-19 pandemic on equity market," Resources Policy, Elsevier, vol. 77(C).
  194. Besley, Timothy & Fetzer, Thiemo & Mueller, Hannes, 2023. "How Big is the Media Multiplier? Evidence from Dyadic News Data," CAGE Online Working Paper Series 692, Competitive Advantage in the Global Economy (CAGE).
  195. Szczygielski, Jan Jakub & Charteris, Ailie & Obojska, Lidia & Brzeszczyński, Janusz, 2025. "What does energy price uncertainty reveal about the global energy crisis?," International Review of Financial Analysis, Elsevier, vol. 104(PB).
  196. George P. Gao & Xiaomeng Lu & Zhaogang Song, 2019. "Tail Risk Concerns Everywhere," Management Science, INFORMS, vol. 65(7), pages 3111-3130, July.
  197. Zheng, Hannan & Schwenkler, Gustavo, 2020. "The network of firms implied by the news," ESRB Working Paper Series 108, European Systemic Risk Board.
  198. Nima Ebrahimi & Craig Pirrong, 2020. "Oil jump risk," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(8), pages 1282-1311, August.
  199. Yuan, Jun & Yang, Liuyong & Xu, Qi, 2025. "The real side of black swans: Tail risk and corporate investment," Journal of Banking & Finance, Elsevier, vol. 176(C).
  200. Su, Zhi & Fang, Tong & Yin, Libo, 2017. "The role of news-based implied volatility among US financial markets," Economics Letters, Elsevier, vol. 157(C), pages 24-27.
  201. Andrew Bird & Stephen A. Karolyi & Thomas G. Ruchti, 2023. "How Do Firms Respond to Political Uncertainty? Evidence from U.S. Gubernatorial Elections," Journal of Accounting Research, John Wiley & Sons, Ltd., vol. 61(4), pages 1025-1061, September.
  202. Gong, Xu & Xu, Jun, 2022. "Geopolitical risk and dynamic connectedness between commodity markets," Energy Economics, Elsevier, vol. 110(C).
  203. Shen Gao & Shijie Wang & Yuanzhi Wang & Qunzi Zhang, 2025. "ChatGPT and Commodity Return," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(3), pages 161-175, March.
  204. Plante, Michael, 2019. "OPEC in the news," Energy Economics, Elsevier, vol. 80(C), pages 163-172.
  205. Liu, Yuanyuan & Niu, Zibo & Suleman, Muhammad Tahir & Yin, Libo & Zhang, Hongwei, 2022. "Forecasting the volatility of crude oil futures: The role of oil investor attention and its regime switching characteristics under a high-frequency framework," Energy, Elsevier, vol. 238(PA).
  206. Fan, Xiaoyun & Wang, Yedong & Wang, Daoping, 2021. "Network connectedness and China's systemic financial risk contagion——An analysis based on big data," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
  207. Rouatbi, Wael & Demir, Ender & Kizys, Renatas & Zaremba, Adam, 2021. "Immunizing markets against the pandemic: COVID-19 vaccinations and stock volatility around the world," International Review of Financial Analysis, Elsevier, vol. 77(C).
  208. Nicolas Himounet & Francisco Serranito & Julien Vauday, 2021. "Uncertainty is bad for Business. Really?," Working Papers 2021.03, International Network for Economic Research - INFER.
  209. Tong Fang & Deyu Miao & Zhi Su & Libo Yin, 2023. "Uncertainty‐driven oil volatility risk premium and international stock market volatility forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(4), pages 872-904, July.
  210. García, Diego & Hu, Xiaowen & Rohrer, Maximilian, 2023. "The colour of finance words," Journal of Financial Economics, Elsevier, vol. 147(3), pages 525-549.
  211. BBVA Research & Alvaro Ortiz & Tomasa Rodrigo, 2025. "Global | Geopolítica, geoeconomía y riesgo: un enfoque basado en aprendizaje automático [Global | Geopolitics, geoeconomics and risk: a machine learning approach]," Working Papers 25/14, BBVA Bank, Economic Research Department.
  212. Saud Asaad Al‐Thaqeb & Barrak Ghanim Algharabali & Khaled Tareq Alabdulghafour, 2022. "The pandemic and economic policy uncertainty," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 2784-2794, July.
  213. Wagner, Moritz & Wei, Xiaopeng, 2024. "Ambiguous investor sentiment," Finance Research Letters, Elsevier, vol. 67(PA).
  214. Marie Bessec & Julien Fouquau, 2024. "A Green Wave in Media: A Change of Tack in Stock Markets," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(5), pages 1026-1057, October.
  215. Agoraki, Maria-Eleni K. & Aslanidis, Nektarios & Kouretas, Georgios P., 2022. "U.S. banks’ lending, financial stability, and text-based sentiment analysis," Journal of Economic Behavior & Organization, Elsevier, vol. 197(C), pages 73-90.
  216. Barrett, Philip & Appendino, Maximiliano & Nguyen, Kate & de Leon Miranda, Jorge, 2022. "Measuring social unrest using media reports," Journal of Development Economics, Elsevier, vol. 158(C).
  217. Wang, Yudong & Pan, Zhiyuan & Liu, Li & Wu, Chongfeng, 2019. "Oil price increases and the predictability of equity premium," Journal of Banking & Finance, Elsevier, vol. 102(C), pages 43-58.
  218. Zhang, Cheng & Gao, Bin & Xu, Xiangrong & Qin, Mimi, 2025. "MFA RPC news sentiment and stock returns," Pacific-Basin Finance Journal, Elsevier, vol. 92(C).
  219. Sandra García-Uribe, 2023. "The Effects of Tax Changes on Economic Activity: A Narrative Approach to Frequent Anticipations," The Economic Journal, Royal Economic Society, vol. 133(650), pages 706-727.
  220. Jeon, Yoontae & McCurdy, Thomas H. & Zhao, Xiaofei, 2022. "News as sources of jumps in stock returns: Evidence from 21 million news articles for 9000 companies," Journal of Financial Economics, Elsevier, vol. 145(2), pages 1-17.
  221. Dehao Dai & Ding Ma & Dou Liu & Kerui Geng & Yiqing Wang, 2026. "Beyond Polarity: Multi-Dimensional LLM Sentiment Signals for WTI Crude Oil Futures Return Prediction," Papers 2603.11408, arXiv.org, revised Mar 2026.
  222. Jha, Manish, 2025. "Do activists align with larger mutual funds?," Journal of Banking & Finance, Elsevier, vol. 173(C).
  223. Richard Frankel & Jared Jennings & Joshua Lee, 2022. "Disclosure Sentiment: Machine Learning vs. Dictionary Methods," Management Science, INFORMS, vol. 68(7), pages 5514-5532, July.
  224. Kundan Kumar & Rajendra Narayan Paramanik & Anoop S. Kumar, 2023. "Nexus among Indian business cycle–financial cycle and Policy Uncertainty Index," SN Business & Economics, Springer, vol. 3(12), pages 1-19, December.
  225. Jiang, Fuwei & Liu, Hongkui & Yu, Jiasheng & Zhang, Huajing, 2023. "International stock return predictability: The role of U.S. uncertainty spillover," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
  226. Hunjra, Ahmed Imran & Kijkasiwat, Ploypailin & Arunachalam, Murugesh & Hammami, Helmi, 2021. "Covid-19 health policy intervention and volatility of Asian capital markets," Technological Forecasting and Social Change, Elsevier, vol. 169(C).
  227. Semenova, Valentina & Winkler, Julian, 2020. "Reddit's Self-Organised Bull Runs," MPRA Paper 105443, University Library of Munich, Germany.
  228. Bahram Adrangi & Arjun Chatrath & Kambiz Raffiee, 2023. "S&P 500 volatility, volatility regimes, and economic uncertainty," Bulletin of Economic Research, Wiley Blackwell, vol. 75(4), pages 1362-1387, October.
  229. Dou, Winston Wei & Ji, Yan & Wu, Wei, 2021. "Competition, profitability, and discount rates," Journal of Financial Economics, Elsevier, vol. 140(2), pages 582-620.
  230. Adlai Fisher & Charles Martineau & Jinfei Sheng, 2022. "Macroeconomic Attention and Announcement Risk Premia," The Review of Financial Studies, Society for Financial Studies, vol. 35(11), pages 5057-5093.
  231. Tran Thi Mai Thanh & To Ngoc Lan, 2025. "Spillover Effects of Foreign Policy Uncertainty and their Impact on FDI Inflows in Asia–Pacific: A Panel Quantile Approach," Economics, Sciendo, vol. 13(4), pages 293-312.
  232. Ghaderi, Mohammad & Kilic, Mete & Seo, Sang Byung, 2022. "Learning, slowly unfolding disasters, and asset prices," Journal of Financial Economics, Elsevier, vol. 143(1), pages 527-549.
  233. Joscha Beckmann & Robert L. Czudaj, 2020. "Professional forecasters' expectations, consistency, and international spillovers," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(7), pages 1001-1024, November.
  234. Chen, Sipeng & Li, Gang, 2023. "Why does option-implied volatility forecast realized volatility? Evidence from news events," Journal of Banking & Finance, Elsevier, vol. 156(C).
  235. Huang, Dashan & Li, Jiangyuan & Wang, Liyao, 2021. "Are disagreements agreeable? Evidence from information aggregation," Journal of Financial Economics, Elsevier, vol. 141(1), pages 83-101.
  236. Yuan, Kaibin & Liang, Yuheng & Zhu, Mengnan, 2024. "Social forecasting: Online social opinion and the cross-section of stock returns," Pacific-Basin Finance Journal, Elsevier, vol. 86(C).
  237. Chan, Kam Fong & Marsh, Terry, 2021. "Asset prices, midterm elections, and political uncertainty," Journal of Financial Economics, Elsevier, vol. 141(1), pages 276-296.
  238. Iyke, Bernard Njindan & Maheepala, M.M.J.D., 2022. "Conventional monetary policy, COVID-19, and stock markets in emerging economies," Pacific-Basin Finance Journal, Elsevier, vol. 76(C).
  239. Jia, Yuecheng & Wu, Yangru & Yan, Shu & Liu, Yuzheng, 2023. "A seesaw effect in the cryptocurrency market: Understanding the return cross predictability of cryptocurrencies," Journal of Empirical Finance, Elsevier, vol. 74(C).
  240. Dai, Zhifeng & Zhu, Huan, 2020. "Stock return predictability from a mixed model perspective," Pacific-Basin Finance Journal, Elsevier, vol. 60(C).
  241. Noailly, Joëlle & Nowzohour, Laura & van den Heuvel, Matthias & Pla, Ireneu, 2024. "Heard the news? Environmental policy and clean investments," Journal of Public Economics, Elsevier, vol. 238(C).
  242. Nicolas Himounet, 2022. "Searching the nature of uncertainty: Macroeconomic and financial risks VS geopolitical and pandemic risks," Post-Print hal-05113023, HAL.
  243. Zhang, Li & Liu, Chengyi & Zhang, Jinjin & Ke, Jinjun & Yuan, Jiayue, 2023. "Party leadership, corporate governance and stock price crash risk: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 88(C).
  244. Gang Li & Dandan Qiao & Mingxuan Zheng, 2025. "Structured Event Representation and Stock Return Predictability," Papers 2512.19484, arXiv.org.
  245. Liu, Yang & Han, Liyan & Yin, Libo, 2019. "News implied volatility and long-term foreign exchange market volatility," International Review of Financial Analysis, Elsevier, vol. 61(C), pages 126-142.
  246. Gupta, Rangan & Kollias, Christos & Papadamou, Stephanos & Wohar, Mark E., 2018. "News implied volatility and the stock-bond nexus: Evidence from historical data for the USA and the UK markets," Journal of Multinational Financial Management, Elsevier, vol. 47, pages 76-90.
  247. Marc-André Gosselin & Temel Taskin, 2023. "What Can Earnings Calls Tell Us About the Output Gap and Inflation in Canada?," Discussion Papers 2023-13, Bank of Canada.
  248. Zhang, Yaojie & Wei, Yu & Ma, Feng & Yi, Yongsheng, 2019. "Economic constraints and stock return predictability: A new approach," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 1-9.
  249. Tang, Wenjin & Bu, Hui & Ji, Yuqiong & Li, Zhongfei, 2024. "Market uncertainty and information content in complex seasonality of prices," Pacific-Basin Finance Journal, Elsevier, vol. 86(C).
  250. Zefeng Chen & Darcy Pu, 2026. "Autonomous Market Intelligence: Agentic AI Nowcasting Predicts Stock Returns," Papers 2601.11958, arXiv.org.
  251. Eriksen, Jonas N., 2019. "Cross-sectional return dispersion and currency momentum," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 91-108.
  252. Aslanidis, Nektarios & Bariviera, Aurelio F. & Savva, Christos S., 2024. "Do online attention and sentiment affect cryptocurrencies’ correlations?," Research in International Business and Finance, Elsevier, vol. 71(C).
  253. Ahmed, Walid M.A., 2022. "Robust drivers of Bitcoin price movements: An extreme bounds analysis," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
  254. Jian Chen & Jiaquan Yao & Qunzi Zhang & Xiaoneng Zhu, 2023. "Global Disaster Risk Matters," Management Science, INFORMS, vol. 69(1), pages 576-597, January.
  255. Arshian Sharif & Eyup Dogan & Ameenullah Aman & Hafizah Hammad Ahmad Khan & Isma Zaighum, 2020. "Rare disaster and renewable energy in the USA: new insights from wavelet coherence and rolling-window analysis," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 103(3), pages 2731-2755, September.
  256. Alejandro Bernales & Marcela Valenzuela & Ilknur Zer, 2023. "Effects of Information Overload on Financial Markets: How Much Is Too Much?," International Finance Discussion Papers 1372, Board of Governors of the Federal Reserve System (U.S.).
  257. Agoraki, Maria-Eleni & Aslanidis, Nektarios & Kouretas, Georgios P., 2021. "U.S. Banks’ lending behaviour, financial stability, and investor sentiment: A textual analysis," Working Papers 2072/534915, Universitat Rovira i Virgili, Department of Economics.
  258. Su, Zhi & Liu, Peng & Fang, Tong, 2022. "Uncertainty matters in US financial information spillovers: Evidence from a directed acyclic graph approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 229-242.
  259. Szczygielski, Jan Jakub & Charteris, Ailie & Obojska, Lidia & Brzeszczyński, Janusz, 2024. "Recession fears and stock markets: An application of directional wavelet coherence and a machine learning-based economic agent-determined Google fear index," Research in International Business and Finance, Elsevier, vol. 72(PA).
  260. Ding, Rui & Guo, Jintong & Zhang, Min, 2024. "Practice a poker face: Manager emotion and investor sentiment," Pacific-Basin Finance Journal, Elsevier, vol. 85(C).
  261. Rangan Gupta & Chi Keung Marco Lau & Mark E. Wohar, 2019. "The impact of US uncertainty on the Euro area in good and bad times: evidence from a quantile structural vector autoregressive model," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 46(2), pages 353-368, May.
  262. Deng, Chuang & Xie, Jingxuan & Zhao, Xiuyi, 2023. "Analysis of the impact of global uncertainty on abnormal cross-border capital flows," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 338-346.
  263. Smales, L.A., 2021. "Geopolitical risk and volatility spillovers in oil and stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 358-366.
  264. Ardia, David & Bluteau, Keven, 2026. "Optimal text-based time-series indices," International Journal of Forecasting, Elsevier, vol. 42(1), pages 44-60.
  265. Viktoriia Naboka-Krell, 2023. "Construction and Analysis of Uncertainty Indices based on Multilingual Text Representations," MAGKS Papers on Economics 202310, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
  266. Zhou, Zhiping & Wang, Kai, 2025. "War discourse predicts stock market volatility: A century of evidence," Finance Research Letters, Elsevier, vol. 82(C).
  267. Mo Chen & Xuhua Hu & Jijian Zhang & Zhe Xu & Guang Yang & Zenan Sun, 2023. "Are Firms More Willing to Seek Green Technology Innovation in the Context of Economic Policy Uncertainty? —Evidence from China," Sustainability, MDPI, vol. 15(19), pages 1-24, September.
  268. Peng, Yueqian & Shi, Li & Shi, Xiaojun & Tan, Songtao, 2024. "Tone or term: Machine-learning text analysis, featured vocabulary extraction, and evidence from bond pricing in China," Journal of Empirical Finance, Elsevier, vol. 78(C).
  269. Eleni Kalamara & Arthur Turrell & Chris Redl & George Kapetanios & Sujit Kapadia, 2022. "Making text count: Economic forecasting using newspaper text," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(5), pages 896-919, August.
  270. Zheng Tracy Ke & Bryan T. Kelly & Dacheng Xiu, 2019. "Predicting Returns With Text Data," NBER Working Papers 26186, National Bureau of Economic Research, Inc.
  271. Li Liu & Zhiyuan Pan & Yudong Wang, 2021. "What can we learn from the return predictability over the business cycle?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(1), pages 108-131, January.
  272. Yang ZHANG & Ziang QIU Ziang & Donghyun PARK & Shu TIAN, 2026. "Role of Artificial Intelligence in Finance: Selective Literature Review and Implications for Asia's Financial Stability," Working Papers wp61, South East Asian Central Banks (SEACEN) Research and Training Centre, revised Feb 2026.
  273. Guglielmo Maria Caporale & Faek Menla-Ali, 2024. "Geopolitical Risk and Cross-Border Portfolio Flows: Effects and Channels," CESifo Working Paper Series 11337, CESifo.
  274. Dimitrios Kanelis & Pierre L. Siklos, 2022. "Emotion in Euro Area Monetary Policy Communication and Bond Yields: The Draghi Era," CAMA Working Papers 2022-75, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, revised Jun 2024.
  275. Al-Shboul, Mohammad & Assaf, Ata & Mokni, Khaled, 2022. "When bitcoin lost its position: Cryptocurrency uncertainty and the dynamic spillover among cryptocurrencies before and during the COVID-19 pandemic," International Review of Financial Analysis, Elsevier, vol. 83(C).
  276. Kevin Benson & Ing-Haw Cheng & John Hull & Charles Martineau & Yoshio Nozawa & Vasily Strela & Yuntao Wu & Jun Yuan, 2024. "Understanding the Excess Bond Premium," Papers 2412.04063, arXiv.org.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.