The effect of macroeconomic news on stock returns: New evidence from newspaper coverage

By Gene Birz, John R. Lott. 2011

200 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/0f161603997fa5110ec82137501988e73b4e8b3a

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Citations in the corpus

Cryptocurrencies as a financial asset: A systematic analysis (2019, methodology): “[2018b] examines the relationship between news coverage and Bitcoin returns extending the approach developed by Birz and Lott [2011] to examine the hypothesis that Bitcoin returns are similarly affected by macroeconomic news announcements. By controlling for a number of potential biases the author’s”
The impact of macroeconomic news on Bitcoin returns (2020, unknown): “Birz and Lott [2011] theorise that, if journalists are inﬂuenced by market activity, then there should be an increase in the number of articles written about a release, following days which have increased amounts of market activity.”
The information content of central bank minutes (2012, unknown): “…of the minutes, we calculate a Net Index following the methodology of indices based on positive and negative stories in news as, for example, in Birz and Lott (2011): [( ) ( )] where #hawk and #dove are the number of hawkish and dovish phrases, and the addition of 1 excludes negative numbers.”
When does the stock market listen to economic news? New evidence from copulas and news wires (2014, unknown): “An analogous indexing approach is used in Birz and Lott (2011). To calculate the monthly value of the Macroeconomic News Index we first find the ratio of positive to negative stories in each of the four news groups.”
Country Responses and the Reaction of the Stock Market to COVID-19—a Preliminary Exposition (2020, background): “Typically, in financial economics, modeling stock returns’ response to shocks entails controlling for both market risk and macroeconomic risk factors (see Birz and Lott 2011; Fama and French 1993, 2012).”
Investigating the Relations between Twitter Sentiment and Stock Prices (2015, background): “Regarding news, various approaches have been attempted: (i) to connect exogenous news with price movements [7], (ii) to study stock price reaction to news [8, 9]; (iii) the correlation between high or low pessimism of media and high market trading volume [10]; (iv) the relation between the sentiment”