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How news and its context drive risk and returns around the world

Citations

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Cited by:

  1. Fang, Yi & Wang, Qi & Wang, Yanru & Yuan, Yan, 2024. "Media sentiment, deposit stability and bank systemic risk: Evidence from China," International Review of Economics & Finance, Elsevier, vol. 91(C), pages 1150-1172.
  2. Aguilar, Pablo & Ghirelli, Corinna & Pacce, Matías & Urtasun, Alberto, 2021. "Can news help measure economic sentiment? An application in COVID-19 times," Economics Letters, Elsevier, vol. 199(C).
  3. Chinmoy Ghosh & Cristian Pinto‐Gutiérrez & Jaideep Shenoy, 2024. "Does negative news disclosure induce better decision‐making? Evidence from acquisitions," The Financial Review, Eastern Finance Association, vol. 59(2), pages 325-372, May.
  4. Salman Bahoo & Marco Cucculelli & Xhoana Goga & Jasmine Mondolo, 2024. "Artificial intelligence in Finance: a comprehensive review through bibliometric and content analysis," SN Business & Economics, Springer, vol. 4(2), pages 1-46, February.
  5. 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.
  6. 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.
  7. Kirtac, Kemal & Germano, Guido, 2024. "Sentiment trading with large language models," Finance Research Letters, Elsevier, vol. 62(PB).
  8. Fraiberger, Samuel P. & Lee, Do & Puy, Damien & Ranciere, Romain, 2021. "Media sentiment and international asset prices," Journal of International Economics, Elsevier, vol. 133(C).
  9. Charles W. Calomiris & Harry Mamaysky, 2019. "Monetary Policy and Exchange Rate Returns: Time-Varying Risk Regimes," NBER Working Papers 25714, National Bureau of Economic Research, Inc.
  10. Wu, Qinqin & Zhuang, Qinqin & Liu, Yitong & Han, Longyan, 2024. "Technology shock of ChatGPT, social attention and firm value: Evidence from China," Technology in Society, Elsevier, vol. 79(C).
  11. Walker, Clive B., 2024. "Going mainstream: Cryptocurrency narratives in newspapers," International Review of Financial Analysis, Elsevier, vol. 94(C).
  12. Kamal, Javed Bin & Wohar, Mark, 2023. "Heterogenous responses of stock markets to covid related news and sentiments: Evidence from the 1st year of pandemic," International Economics, Elsevier, vol. 173(C), pages 68-85.
  13. Yang, Shanxiang & Liu, Zhechen & Wang, Xinjie, 2020. "News sentiment, credit spreads, and information asymmetry," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
  14. Jia, Yuecheng & Liu, Yuzheng & Wu, Yangru & Yan, Shu, 2024. "Information spillover and cross-predictability of currency returns: An analysis via Machine Learning," Journal of Banking & Finance, Elsevier, vol. 169(C).
  15. Aysan, Ahmet Faruk & Caporin, Massimiliano & Cepni, Oguzhan, 2024. "Not all words are equal: Sentiment and jumps in the cryptocurrency market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
  16. Axel Groß-Klußmann, 2024. "Learning deep news sentiment representations for macro-finance," Digital Finance, Springer, vol. 6(3), pages 341-377, September.
  17. Adam Zaremba, 2019. "The Cross Section of Country Equity Returns: A Review of Empirical Literature," JRFM, MDPI, vol. 12(4), pages 1-26, October.
  18. Antonios Persakis, 2024. "The impact of climate policy uncertainty on ESG performance, carbon emission intensity and firm performance: evidence from Fortune 1000 firms," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 26(9), pages 24031-24081, September.
  19. Hou, Xiaohui & Yang, Rui, 2021. "Policy signaling and stock price synchronicity: Evidence from China," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
  20. Juanjuan Wang & Shujie Zhou & Wentong Liu & Lin Jiang, 2024. "An ensemble model for stock index prediction based on media attention and emotional causal inference," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(6), pages 1998-2020, September.
  21. 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.
  22. 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.
  23. Liang, Qi & Sun, Wenjia & Li, Wenyu & Yu, Fengyan, 2021. "Media effects matter: Macroeconomic announcements in the gold futures market," Economic Modelling, Elsevier, vol. 96(C), pages 1-12.
  24. Jing Li & Daniel Shapiro & Anastasia Ufimtseva, 2024. "Regulating inbound foreign direct investment in a world of hegemonic rivalry: the evolution and diffusion of US policy," Journal of International Business Policy, Palgrave Macmillan, vol. 7(2), pages 147-165, June.
  25. Aleksanyan, Mark & Danbolt, Jo & Siganos, Antonios & Wu, Betty (H.T.), 2022. "I only fear when I hear: How media affects insider trading in takeover targets," Journal of Empirical Finance, Elsevier, vol. 67(C), pages 318-342.
  26. Yousaf, Imran & Bejaoui, Azza & Ali, Shoaib & Li, Yanshuang, 2024. "Demystifying the dynamic relationship between news sentiment index and ESG stocks: Evidence from time-frequency wavelet analysis," International Review of Financial Analysis, Elsevier, vol. 96(PB).
  27. 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.
  28. Bai, Chenjiang & Duan, Yuejiao & Liu, Congya & Qiu, Leiju, 2022. "International taxation sentiment and COVID-19 crisis," Research in International Business and Finance, Elsevier, vol. 63(C).
  29. Loic Mar'echal & Nathan Monnet, 2024. "Disentangling the sources of cyber risk premia," Papers 2409.08728, arXiv.org.
  30. 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.
  31. 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.
  32. Mengyu Wang & Shay B. Cohen & Tiejun Ma, 2024. "Modeling News Interactions and Influence for Financial Market Prediction," Papers 2410.10614, arXiv.org.
  33. Geng, Yuedan & Ye, Qiang & Jin, Yu & Shi, Wen, 2022. "Crowd wisdom and internet searches: What happens when investors search for stocks?," International Review of Financial Analysis, Elsevier, vol. 82(C).
  34. Łukasz Baszczak, 2023. "Ekonomia narracji – początki nowego nurtu," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 1, pages 66-81.
  35. Nida Çakır Melek & Charles W. Calomiris & Harry Mamaysky, 2020. "Big Data Meets the Turbulent Oil Market," Research Working Paper RWP 20-20, Federal Reserve Bank of Kansas City, revised Nov 2022.
  36. 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.
  37. Ma, Feng & Lyu, Zhichong & Li, Haibo, 2024. "Can ChatGPT predict Chinese equity premiums?," Finance Research Letters, Elsevier, vol. 65(C).
  38. Huang, Tao & Zhang, Xueyong, 2022. "Industry-level media tone and the cross-section of stock returns," International Review of Economics & Finance, Elsevier, vol. 77(C), pages 59-77.
  39. Charles W. Calomiris & Nida Çakır Melek & Harry Mamaysky, 2021. "Predicting the Oil Market," NBER Working Papers 29379, National Bureau of Economic Research, Inc.
  40. Bertsch, Christoph & Hull, Isaiah & Zhang, Xin, 2021. "Narrative fragmentation and the business cycle," Economics Letters, Elsevier, vol. 201(C).
  41. Travis Adams & Andrea Ajello & Diego Silva & Francisco Vazquez-Grande, 2023. "More than Words: Twitter Chatter and Financial Market Sentiment," Papers 2305.16164, arXiv.org.
  42. Pereira, Camila C. & Bastos, Saulo B. & Cajueiro, Daniel O., 2025. "The words that lead to uncertainty: A measure based on word embeddings," Economic Systems, Elsevier, vol. 49(3).
  43. Michael D. Wang & Jie Lou & Dong Zhang & C. Simon Fan, 2022. "Measuring political and economic uncertainty: a supervised computational linguistic approach," SN Business & Economics, Springer, vol. 2(5), pages 1-17, May.
  44. Guzmán, Alexander & Mehrotra, Vikas & Morck, Randall & Trujillo, María-Andrea, 2020. "How institutional development news moves an emerging market," Journal of Business Research, Elsevier, vol. 112(C), pages 300-319.
  45. Carlson, Mark, 2025. "Durable consumption, bank distress, economic concerns, and how they interacted during the great depression," Explorations in Economic History, Elsevier, vol. 97(C).
  46. 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.
  47. Feipeng Zhang & Yun Hong & Yanhui Jiang & Jiayi Yu, 2022. "Impact of national media reporting concerning COVID-19 on stock market in China: empirical evidence from a quantile regression," Applied Economics, Taylor & Francis Journals, vol. 54(33), pages 3861-3881, July.
  48. Baszczak, Łukasz, . "Ekonomia narracji – początki nowego nurtu," Gospodarka Narodowa-The Polish Journal of Economics, Szkoła Główna Handlowa w Warszawie / SGH Warsaw School of Economics, vol. 2023(1).
  49. Ahmed, Walid M.A., 2020. "Stock market reactions to domestic sentiment: Panel CS-ARDL evidence," Research in International Business and Finance, Elsevier, vol. 54(C).
  50. Muhammad Ateeq ur REHMAN & Syed Ghulam Meran SHAH & Lucian-Ionel CIOCA & Alin ARTENE, 2021. "Accentuating the Impacts of Political News on the Stock Price, Working Capital and Performance: An Empirical Review of Emerging Economy," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 55-73, June.
  51. Alistair Macaulay & Wenting Song, 2022. "Narrative-Driven Fluctuations in Sentiment: Evidence Linking Traditional and Social Media," Economics Series Working Papers 973, University of Oxford, Department of Economics.
  52. Tomas Williams & Sergio Schmukler & Mauricio Larrain & Charles Calomiris, 2019. "Search for Yield in Large International Corporate Bonds: Investor Behavior and Firm Responses," Working Papers 2019-15, The George Washington University, Institute for International Economic Policy.
  53. 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.
  54. Erdinc Akyildirim & Ahmet Faruk Aysan & Oguzhan Cepni & Özge Serbest, 2024. "Sentiment matters: the effect of news-media on spillovers among cryptocurrency returns," The European Journal of Finance, Taylor & Francis Journals, vol. 30(14), pages 1577-1613, September.
  55. Thach Pham & Deepa Bannigidadmath & Robert Powell, 2025. "Industry return predictability using health policy uncertainty," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-42, December.
  56. Andrea Ajello & Diego Silva & Travis Adams & Francisco Vazquez-Grande, 2023. "More than Words: Twitter Chatter and Financial Market Sentiment," Finance and Economics Discussion Series 2023-034, Board of Governors of the Federal Reserve System (U.S.).
  57. Lehkonen, Heikki & Heimonen, Kari & Pukthuanthong, Kuntara, 2025. "Media tone is a priced risk factor in currency markets," Journal of Banking & Finance, Elsevier, vol. 180(C).
  58. Ka Kit Tang & Ka Ching Li & Mike K P So, 2021. "Predicting standardized absolute returns using rolling-sample textual modelling," PLOS ONE, Public Library of Science, vol. 16(12), pages 1-28, December.
  59. Xi Dong & Yan Li & David E. Rapach & Guofu Zhou, 2022. "Anomalies and the Expected Market Return," Journal of Finance, American Finance Association, vol. 77(1), pages 639-681, February.
  60. Zhang, Junhuan & Zhang, Ziyan & Wen, Jiaqi, 2025. "A multifactor model using large language models and multimodal investor sentiment," International Review of Economics & Finance, Elsevier, vol. 102(C).
  61. Möller, Rouven & Reichmann, Doron, 2023. "COVID-19 related TV news and stock returns: Evidence from major US TV stations," The Quarterly Review of Economics and Finance, Elsevier, vol. 87(C), pages 95-109.
  62. 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.
  63. Valérie Mignon & Celso Brunetti & Marc Joëts, 2023. "Reasons Behind Words: OPEC Narratives and the Oil Market," EconomiX Working Papers 2023-24, University of Paris Nanterre, EconomiX.
  64. Xu Gong & Keqin Guan & Qiyang Chen, 2022. "The role of textual analysis in oil futures price forecasting based on machine learning approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(10), pages 1987-2017, October.
  65. Hong, Yun & Jiang, Yanhui & Su, Xiaojian & Deng, Chao, 2024. "Extreme state media reporting and the extreme stock market during COVID-19: A multi-quantile VaR Granger causality approach in China," Research in International Business and Finance, Elsevier, vol. 67(PA).
  66. Danilo Vassallo & Giacomo Bormetti & Fabrizio Lillo, 2019. "A tale of two sentiment scales: Disentangling short-run and long-run components in multivariate sentiment dynamics," Papers 1910.01407, arXiv.org, revised Sep 2020.
  67. Durand, Robert B. & Khuu, Joyce & Smales, Lee A., 2023. "Lost in translation. When sentiment metrics for one market are derived from two different languages," Journal of Behavioral and Experimental Finance, Elsevier, vol. 39(C).
  68. Jia, Zhehao & Li, Donghui & Shi, Yukun & Xing, Lu, 2023. "Firm-level media news, bank loans, and the role of institutional environments," Journal of Corporate Finance, Elsevier, vol. 83(C).
  69. Sharpe, Steven A. & Sinha, Nitish R. & Hollrah, Christopher A., 2023. "The power of narrative sentiment in economic forecasts," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1097-1121.
  70. 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).
  71. Charles W. Calomiris & Harry Mamaysky & Ruoke Yang, 2020. "Measuring the Cost of Regulation: A Text-Based Approach," NBER Working Papers 26856, National Bureau of Economic Research, Inc.
  72. Liu, Weiyi & Zhao, Xiaojuan & Li, Wenjia & Wang, Ye, 2025. "The effect of the cryptocurrency halving event," Pacific-Basin Finance Journal, Elsevier, vol. 94(C).
  73. Michael Curran & Adnan Velic, 2020. "The CAPM, National Stock Market Betas, and Macroeconomic Covariates: a Global Analysis," Open Economies Review, Springer, vol. 31(4), pages 787-820, September.
  74. Daniel Borup & Jorge Wolfgang Hansen & Benjamin Dybro Liengaard & Erik Christian Montes Schütte, 2023. "Quantifying investor narratives and their role during COVID‐19," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(4), pages 512-532, June.
  75. Zhao, Lu-Tao & Wang, Dai-Song & Ren, Zhong-Yuan, 2024. "The impact of joint events on oil price volatility: Evidence from a dynamic graphical news analysis model," Economic Modelling, Elsevier, vol. 130(C).
  76. Muhammad Ateeq ur REHMAN & Masood AHMAD & Furman ALI & Habib AHMAD, 2024. "Expose the Hidden : Investor Sentiment and Anomaly Strategies in Emerging Market," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 63-81, December.
  77. 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.).
  78. Bai, Xiwen & Lam, Jasmine Siu Lee & Jakher, Astha, 2021. "Shipping sentiment and the dry bulk shipping freight market: New evidence from newspaper coverage," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 155(C).
  79. Mingchen Li & Kun Yang & Wencan Lin & Yunjie Wei & Shouyang Wang, 2024. "An interval constraint-based trading strategy with social sentiment for the stock market," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-31, December.
  80. Park, Dojoon & Kang, Yong Joo & Eom, Young Ho, 2024. "Asset pricing tests for pandemic risk," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 1314-1334.
  81. 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.
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