News Buzz Impacts Stock Returns
We test the assumption that more important events will get higher media coverage, attract the attention of investors, and result in greater price impact.
Beyond Excess Returns: How to Enhance Sentiment Strategies using MSCI Barra Risk Models
For simplicity, researchers often use excess returns when evaluating the efficacy of a trading signal. This is equivalent to assuming just a single risk factor (the market) with constant factor exposure (𝛽=1)
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