There are both theoretical reasons and empirical evidence for financial markets rewarding investors who put effort into acquiring relevant information. This article shows how a systematic approach of encoding text, 'semantic fingerprinting' can be applied to a set of news headlines from The Wall Street Journal to measure the 'news intensity' − the volume of relevant news − pertaining to three major currency indices: dollar, pound and euro. In a dataset that spans two decades, we find a persistently positive link between the 'news intensity' and the volatility of currency returns, that becomes significantly stronger in times of recession: 'bad news' tends to translate into higher volatility.
No takes yet. Share an insight, caveat, or question.
Avioz et al. (2024) studied this question.
Synapse has enriched 5 closely related papers on similar clinical questions. Consider them for comparative context: