The authors explore the interaction between media content and market returns and volatility.
They utilize propriety investor sentiment measures developed by Thompson Reuters …

We examine the responses of intraday option‐implied volatilities to scheduled
announcements of macroeconomic indicators. The increase in implied volatility around …

The SKEW index of the Chicago Board Options Exchange (CBOE), launched in February
2011, measures the tail risk not fully captured by the VIX index. In this paper we introduce …

Relying on over 300 million news sentiment scores from a global news source covering a
battery of different news topics and their sentiment, we construct a novel measure called top …

Non-US dollar-denominated external emerging market debt issuance in euros, yen, and
sterling has grown substantially in recent years. This article is the first study to explore how …

This thesis consists of three related studies investigating the practical economic utility of
news analytics in momentum-style equity portfolios. We employ a dataset of 5.3 million news …

Chicago Board Options Exchange Volatility Index (VIX) futures have become an increasingly
important hedging instrument and aid to portfolio diversification. The authors study changes …

This study examines the response of intraday options-implied volatilities to scheduled
announcements of major macroeconomic indicators. By analyzing the KOSPI 200 options …