We conduct a tone-based event study to examine the aggregate abnormal tone dynamics in media articles around earnings announcements. We test whether they convey incremental information that is useful for price discovery for non-financial S&P 500 …
The advent of massive amounts of textual, audio, and visual data has spurred the development of econometric methodology to transform qualitative sentiment data into quantitative sentiment variables, and to use those variables in an econometric …
The modern calculation of textual sentiment involves a myriad of choices as to the actual calibration. We introduce a general sentiment engineering framework that optimizes the design for forecasting purposes. It includes the use of the elastic net …