This study represents an initial endeavor to harness the potential of the semantic space
within the Twitter news flow to forecast financial anomalies. In pursuit of this objective …

This study decomposes media coverage into a non-strategic (random news) component and
a strategic component backed by investor relations (IR) activities. Conceptually, media …

Stocks with high maximum daily returns (MAX) in a given month yield low returns in the
subsequent month. We thoroughly examine the underlying behavioral mechanism based on …

The paper investigates whether eco-innovation, sustainability, and asset pricing effect of
maximum daily return (maxing out effect), truly and steadily exists in A share market of China …

The link between news and investor decision making is widely discussed in the literature.
Utilising unique US firm-level news data between 1979 and 2016, we document a cross …

Previous literature has shown that investors' demand for lottery-type stocks is conditional on
a number of factors, and that these stocks underperform in the long run compared to non …

The well-known “MAX effect” documents that stocks with high maximum daily returns in the
past month underperform those with low maximum daily returns. We show that such an effect …

This article focuses on the interaction between media and asset prices and explores the
potential mechanisms that drive stock market reaction to news media. The authors find that …

This study examines how uncertainty and global risk affect financial markets in emerging
economies, focusing on foreign investment, CDS spreads, exchange rates, and stock return …

We propose that extrapolative beliefs about recent past extreme returns contribute to a better
understanding of the source and outcome of extreme positive daily returns. In an …