We survey the textual sentiment literature, comparing and contrasting the various
information sources, content analysis methods, and empirical models that have been used …

Natural language processing (NLP) is a part of the artificial intelligence domain focused on
communication between humans and computers. NLP attempts to address the inherent …

We implement a novel approach to derive investor sentiment from messages posted on
social media before we explore the relation between online investor sentiment and intraday …

Social media are increasingly reflecting and influencing behavior of other complex systems.
In this paper we investigate the relations between a well-known micro-blogging platform …

We show that short interest is arguably the strongest known predictor of aggregate stock
returns. It outperforms a host of popular return predictors both in and out of sample, with …

Using a sample of 97 stock return anomalies, we find that anomaly returns are 50% higher
on corporate news days and six times higher on earnings announcement days. These …

Using a large sample of US public firms, we find robust evidence that short interest is
positively related to one-year ahead stock price crash risk. The evidence is consistent with …

ABSTRACT I describe asset price dynamics caused by the slow movement of investment
capital to trading opportunities. The pattern of price responses to supply or demand shocks …

This study investigates the role of the business press in the pricing of accounting
information. Using a comprehensive dataset of more than 111,000 earnings-related …

This article presents a study of how stock price efficiency and return distributions are affected
by short-sale constraints. The study is based on a global dataset, from 2005 to 2008, that …