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Article
Stock-specific sentiment and return predictability
in Quantitative Finance, 20 (9)
Voir la revue «Quantitative Finance»
This paper quantifies the impact of stock-specific news sentiment on future financial returns. Daily predictive regressions yield significant t-statistics for 7% at most of our sample of more than 1000 large stocks listed in the USA. While a few assets do run through pockets of predictability, the evidence suggests that the feedback effect is stronger in the reverse direction: returns are more likely to drive future sentiment than the other way around.
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