Social media is now used as a forecasting tool by a variety of firms and agencies. But how useful are such data in forecasting outcomes? Can social media add any information to that produced by a prediction/betting market? We source 13.8 million posts from Twitter, and combine them with contemporaneous Betfair betting prices, to forecast the outcomes of English Premier League soccer matches as they unfold. Using a microblogging dictionary to analyze the content of Tweets, we find that the aggregate tone of Tweets contains significant information not in betting prices, particularly in the immediate aftermath of goals and red cards. (JEL G14, G17)

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This paper shows that communication of economic news varies across newspapers in the United Kingdom. We develop new time series of economic news tonality using a unique dataset of policy influenced articles published in major UK newspapers. We show that the volume and tonality of news respond to current economic conditions. For example, the nature of news changes around events of economic uncertainty such as the global financial crisis and the post-EU referendum periods. We also provide illustrative evidence that communication differs across newspaper formats. Tabloids, as opposed to quality newspapers, tend to express news more negatively, and mostly report policy-related news during periods of economic stress. The integral importance of these results is illustrated by news reaction curves showing a strong positive relationship mostly lasting three months between consumer sentiments and news.

A test of the long memory hypothesis based on self-similarityDavidson, James; Rambaccussing, Dooruj Davidson, J., & Rambaccussing, D. (2015). A test of the long memory hypothesis based on self-similarity. Journal of Time Series Econometrics, 7(2), 115-141. [7]. DOI: 10.1515DOI: 10. /jtse-2013 General rights Copyright and moral rights for the publications made accessible in Discovery Research Portal are retained by the authors and/or other copyright owners and it is a condition of accessing publications that users recognise and abide by the legal requirements associated with these rights.• Users may download and print one copy of any publication from Discovery Research Portal for the purpose of private study or research.• You may not further distribute the material or use it for any profit-making activity or commercial gain.• You may freely distribute the URL identifying the publication in the public portal. Take down policyIf you believe that this document breaches copyright please contact us providing details, and we will remove access to the work immediately and investigate your claim. Abstract: This paper develops a new test of true versus spurious long memory, based on log-periodogram estimation of the long memory parameter using skipsampled data. A correction factor is derived to overcome the bias in this estimator due to aliasing. The procedure is designed to be used in the context of a conventional test of significance of the long memory parameter, and a composite test procedure is described that has the properties of known asymptotic size and consistency. The test is implemented using the bootstrap, with the distribution under the null hypothesis being approximated using a dependentsample bootstrap technique to approximate short-run dependence following fractional differencing. The properties of the test are investigated in a set of Monte Carlo experiments. The procedure is illustrated by applications to exchange rate volatility and dividend growth series.

This paper uses a present value approach to show that price movements for equity indices in a sample of European stock markets can be traced to legal origin, institutional, and corporate financial factors. The present value literature states that stock indices move due to changes either in discount rates, dividend growth, or a combination of the two. Empirically, little is known about the mechanism through which legal, institutional, and corporate financial factors influence these variables, especially in a European context. The current paper attempts to plug this gap in the literature. Using the state space approach, we show that although expected returns are highly persistent, expected dividend growth tends to vary across the sample. Movements in markets are mainly due to changes in the discount rate. However, there appears to be a difference in the proportion of movements attributable to discount rate and dividend growth components. Stock markets in civil law countries tend to have a stronger link with the dividend growth variables as well as market size and activity measures. Expected dividend growth is also driven by profitability factors in both types of country. By contrast, there is no strong evidence of corporate indicators influencing expected returns.