28 citations · 84 across the 8 of their papers we have counts for
8 papers
Optimal Text-Based Time-Series Indices
David Ardia, Keven Bluteau
We propose an approach to construct text-based time-series indices in an optimal way--typically, indices that maximize the contemporaneous relation or the predictive performance wi…
The Role of Twitter in Cryptocurrency Pump-and-Dumps
David Ardia, Keven Bluteau
We examine the influence of Twitter promotion on cryptocurrency pump-and-dump events. By analyzing abnormal returns, trading volume, and tweet activity, we uncover that Twitter eff…
Factor Exposure Heterogeneity in Green and Brown Stocks
David Ardia, Keven Bluteau, Gabriel Lortie-Cloutier +1
Using the peer-exposure ratio, we explore the factor exposure heterogeneity in green and brown stocks. By looking at peer groups of S&P 500 index firms over 2014-2020 based on thei…
How easy is it for investment managers to deploy their talent in green and brown stocks?
David Ardia, Keven Bluteau, Thien Duy Tran
We explore the realized alpha-performance heterogeneity in green and brown stocks' universes using the peer performance ratios of Ardia and Boudt (2018). Focusing on S&P 500 index…
Thirty Years of Academic Finance
David Ardia, Keven Bluteau, Mohammad Abbas Meghani
We study how the financial literature has evolved in scale, research team composition, and article topicality across 32 finance-focused academic journals from 1992 to 2021. We docu…
The R package sentometrics to compute, aggregate and predict with textual sentiment
David Ardia, Keven Bluteau, Samuel Borms +1
We provide a hands-on introduction to optimized textual sentiment indexation using the R package sentometrics. Textual sentiment analysis is increasingly used to unlock the potenti…
Media abnormal tone, earnings announcements, and the stock market
David Ardia, Keven Bluteau, Kris Boudt
We conduct a tone-based event study to examine the aggregate abnormal tone dynamics in media articles around earnings announcements. We test whether they convey incremental informa…
A Century of Economic Policy Uncertainty Through the French-Canadian Lens
David Ardia, Keven Bluteau, Alaa Kassem
A novel token-distance-based triple approach is proposed for identifying EPU mentions in textual documents. The method is applied to a corpus of French-language news to construct a…