The Sensitivity of Firms' Proprietary Program Trading to Financial News Article Sentiment about the Volcker Rule

Ryan, Jacob

2019

Description
  • This thesis examines how proprietary trading firms' uncertainty about the development of the Volcker Rule influenced their program trading. I construct measures of regulatory risk associated with the Rule from the sentiment of reputable financial news articles. I provide evidence that these firms rely significantly on recent articles to make their trading decisions, but that they quickly forget ... read more
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