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Economics blogs sentiment and asset prices

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International Journal of Finance & Economics

Published online on

Abstract

One of the most important research streams in finance is to understand the determinants of stock market dynamics. Using a large amount of linguistic data regarding 960,808 posts during a 5‐year time period (from March 1, 2008, to August 31, 2013), we develop an economics blogs pessimism indicator (considered as a proxy for either investor sentiment or risk aversion), and we show its validity to build performing trading strategies.