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Economics blogs sentiment and asset prices
Author(s) -
Farina Vincenzo,
Parisi Antonio,
Pomante Ugo
Publication year - 2017
Publication title -
international journal of finance and economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.505
H-Index - 39
eISSN - 1099-1158
pISSN - 1076-9307
DOI - 10.1002/ijfe.1591
Subject(s) - pessimism , economics , proxy (statistics) , financial economics , stock market , stock (firearms) , behavioral economics , capital asset pricing model , market sentiment , risk aversion (psychology) , asset (computer security) , econometrics , microeconomics , expected utility hypothesis , computer science , computer security , mechanical engineering , paleontology , philosophy , epistemology , horse , machine learning , engineering , biology
One of the most important research streams in finance is to understand the determinants of stock market dynamics. Using a large amount of linguistic data regarding 960,808 posts during a 5‐year time period (from March 1, 2008, to August 31, 2013), we develop an economics blogs pessimism indicator (considered as a proxy for either investor sentiment or risk aversion), and we show its validity to build performing trading strategies.