Pricing ethics in the foreign exchange market: Environmental, Social and Governance ratings and currency premia
I Filippou, MP Taylor - Journal of economic behavior & organization, 2021 - Elsevier
We examine the cross-sectional predictive ability of the Refinitiv Environmental, Social and
Governance (ESG) score for returns in the foreign exchange market, using ESG scores …
Governance (ESG) score for returns in the foreign exchange market, using ESG scores …
Media sentiment and currency reversals
Analyzing 48 foreign exchange (FX) rates and 1.2 million FX-related news articles over a 35-
year period, using digital textual analysis, we find that a currency reversal investment …
year period, using digital textual analysis, we find that a currency reversal investment …
Finfluencer-in-Chief
A Venkataraman - Available at SSRN 4736677, 2024 - papers.ssrn.com
I investigate the relationship between sentiment expressed in White House presidential
communications and expected returns across various asset classes in the post-war United …
communications and expected returns across various asset classes in the post-war United …
Signal in the Noise: Trump Tweets and the Currency Market
In this paper, we conduct a textual analysis of Trump tweets. Our method extracts the signal
from the noise, by identifying the subset of tweets that contain information on …
from the noise, by identifying the subset of tweets that contain information on …
Textual analysis in empirical asset pricing
MT Nguyen - 2022 - wrap.warwick.ac.uk
This thesis consists of three chapters, in which I discuss how textual analysis can contribute
to the area of empirical asset pricing. In Chapter 2, I implement textual analysis based on …
to the area of empirical asset pricing. In Chapter 2, I implement textual analysis based on …