11.6 REFERENCES
Andersen T.G.; Bollerslev T.; Diebold F.X. (2003) Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility, SSRN eLibrary.
Arena M.; Howe J. (2008) “A face can launch a thousand shares (and a 0.80% abnormal return),” Journal of Behavioral Finance. 9(3), 107–116.
Barber B.; Loeffler D. (1993) “The ‘dartboard’ column: Second-hand information and price pressure,” Journal of Financial and Quantitative Analysis, 28(2), 273–284.
Barber B.; Odean T. (2008) “All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors,” The Review of Financial Studies, 21(2), 785–818.
Black F. (1976) “Studies of stock price volatility changes,” paper presented at Proceedings of the 1976 Meetings of the Business and Economic Statistics Section, American Statistical Association, Vol. 177, p. 81.
Brown S.; Warner J. (1985) “Using daily stock returns: The case of event studies,” Journal of Financial Economics, 14(1), 3–31.
Chemmanur T.; Yan A. (2009) Advertising, Attention, and Stock Returns, Working Paper, Boston College and Fordham University.
Da Z.; Engelberg J.; Gao P. (2009) In Search of Attention, Working Paper, SSRN.
Ding Z.; Granger C.W.J.; Engle R.F. (1993) “A long memory property of stock market returns and a new model,” Journal of Empirical Finance, 1(1), 83–106.
Dong L. (2008) Attracting Investor Attention through Advertising, Working ...
Get The Handbook of News Analytics in Finance now with the O’Reilly learning platform.
O’Reilly members experience books, live events, courses curated by job role, and more from O’Reilly and nearly 200 top publishers.
