2 papers
q-fin.TR2025
Does Overnight News Explain Overnight Returns?
Paul Glasserman, Kriste Krstovski, Paul Laliberte +1
Over the past 30 years, nearly all the gains in the U.S. stock market have been earned overnight, while average intraday returns have been negative or flat. We find that a large pa…
q-fin.ST2020
Choosing News Topics to Explain Stock Market Returns
Paul Glasserman, Kriste Krstovski, Paul Laliberte +1
We analyze methods for selecting topics in news articles to explain stock returns. We find, through empirical and theoretical results, that supervised Latent Dirichlet Allocation (…