Fang L.H.; Peress J. (forthcoming) ‘‘Media coverage and the cross-section of stock returns,’’
Journal of Finance.
Graham M.; Nikkinen J.; Sahlstrom P. (2003) ‘‘Relative importance of scheduled macroeconomic
news for stock market investors,’’Journal of Economics and Finance, 27 (2), 153–165.
Gutierrez Jr. R.C.; Kelley E.; Hall M.C. (2007) ‘‘The long-lasting momentum in weekly returns,’’
Journal of Finance.
Hafez P. (2009a)Construction of Market Sentiment Indices Using News Sentiment, White Paper,
RavenPack.
Hafez P. (2009b)Detection of Seasonality in News Flow, White Paper, RavenPack.
Hafez P. (2010) ‘‘The role of news in financial markets,’’ paper presented atCARISMA Annual
Conference. Available athttp://www.optirisk- systems.com/papers/PeterAger
Hafez.pdf
Hirshleifer D. (2001) ‘‘Investor psychology and asset pricing,’’ Journal of Finance, 56 (4),
1533–1597.
Hirshleifer D.; Lim S.S.; Teoh S.H. (2010) ‘‘Driven to distraction: Extraneous events and
underreaction to earnings news,’’CFA Digest, 40 (1), Digest Summary.
Hong H.; Stein J.C. (1999) ‘‘A unified theory of underreaction, momentum trading, and
overreaction in asset markets,’’Journal of Finance, 54 (6), 2143–2184.
Hou, K. Peng, L. Xiong. W. (2009) ‘‘A tale of two anomalies: The implications of
investor attention for price and earnings momentum.’’ Available athttp://ssrn.com/
abstract=976394
Kahneman D. Tversky. A. (1979) ‘‘Prospect theory: An analysis of decision under risk,’’
Econometrica, 47 (2), 263–291.
Kalev P.S.; Duong H.N. (this volume) ‘‘Firm-specific news arrival and the volatility of intraday
stock index and futures returns’’ (see Chapter 12).
Kalev P.S.; Liu W.M.; Pham P.K.; Jarnecic E. (2004) ‘‘Public information arrival and volatility of
intraday stock returns,’’Journal of Banking and Finance, 28 (6), 1441–1467.
Karpoff J.M. (1987) ‘‘The relation between price changes and trading volume: A survey,’’Journal
of Financial and Quantitative Analysis, 22 , 109–126.
Kittrell J. (this volume) ‘‘Sentiment reversals as buy signals’’ (see Chapter 9).
Kothari S.P.; Warner J.B. (2005) ‘‘Econometrics of event studies,’’ in B. Espen Eckbo (Ed.),
Handbook of Empirical Corporate Finance, Elsevier Finance.
Lavrenko V.; Schmill M.; Lawrie D.; Ogilvie P.; Jensen D.; Allan J. (2000) ‘‘Language models for
financial news recommendation,’’ paper presented atProceedings of the Ninth international
Conference on Information and Knowledge Management, ACM.
Leinweber D. (2009)Nerds on Wall Street, John Wiley & Sons.
Leinweber D.; Sisk J. (this volume) ‘‘Relating news analytics to stock returns’’ (see Chapter 6).
Li F. (2006)Do Stock Market Investors Understand the Risk Sentiment of Corporate Annual
Reports?, Working Paper, University of Michigan. Available athttp://papers.ssrn.
com/sol3/papers.cfm?abstract id=898181
Liang X. (2005) ‘‘Impacts of internet stock news on stock markets based on neural networks,’’ in
Advances in Neural Networks, Springer, Berlin.
Lintner J. (1965) ‘‘The valuation of risk assets and the selection of risky investments in stock
portfolios and capital budgets,’’Review of Economics and Statistics, 47 (1), 13–37.
Lo A. (1997)Market Efficiency: Stock Market Behaviour in Theory and Practice, Edward Elgar.
Lo A.W. (2005) ‘‘Reconciling efficient markets with behavioural finance: The Adaptive Market
Hypothesis,’’Journal of Investment Consulting, 7 (2), 21–44.
LoA.(2008)Reuters NewsScope Event Indices, AlphaSimplex Research Report, Thomson
Reuters.
Lo A.; Healy A. (this volume) ‘‘Managing real-time risks and returns: The Thomson Reuters
NewsScope Event Indices’’ (see Chapter 3).
Applications of news analytics in finance: A review 37