Name
Abstract | ||
|---|---|---|
The availability of novel information may significantly affect the evolution of asset prices. Nonetheless, investors are influenced not only by the quantitative facts but also by the textual content of news disclosures. In this paper, we examine whether news reception in the oil market is time-dependent using a rolling window regression. Our findings suggest that news reception does indeed have a significant effect on returns and we further find evidence for exaggerated news reception as it comes along with a feedback loop. Thus, we succeed in measuring the situation Shiller terms "irrational exuberance". |
Year | DOI | Venue |
|---|---|---|
2014 | 10.1007/978-3-319-28151-3_4 | Lecture Notes in Business Information Processing |
Keywords | Field | DocType |
Irrational exuberance,Information processing,Oil market,Rolling window regression,Sentiment analysis | Financial economics,Economics,Information processing,Sentiment analysis,Irrational number,Monetary economics | Conference |
Volume | ISSN | Citations |
217 | 1865-1348 | 2 |
PageRank | References | Authors |
0.41 | 5 | 4 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Antal Ratku | 1 | 15 | 1.46 |
| Stefan Feuerriegel | 2 | 219 | 31.91 |
| Fethi Rabhi | 3 | 427 | 50.68 |
| Dirk Neumann | 4 | 294 | 37.29 |