Papers

David Ardia, Keven Bluteau (2026). Optimal text-based time-series indices. International Journal of Forecasting, 42(1), 44–60.

David Ardia, Keven Bluteau, Céleste Hardy, Marie Lambert (2025). When social risks matter: Retail fund flows and social concern. Working paper, SSRN 7094078.

Benjamin Séguin (2025). Strategies to Monetize the Sentiment Extracted With NLP Techniques From Earnings Call Transcripts. MSc thesis, HEC Montréal.

Shihao Tong (2025). Does Unexpected Change in Climate Risk Concerns Affect IV Surface Dynamics? A VAR Approach Using the UMC Index. MSc thesis, HEC Montréal.

Thomas Boyer (2024). Examining the Relation Between Stocks' Option-Implied Moments and Climate Change Concerns. MSc thesis, HEC Montréal.

David Ardia, Keven Bluteau, Mohammad Abbas Meghani (2024). Thirty years of academic finance. Journal of Economic Surveys, 38(3), 1008–1042.

Kriti Bhaya (2024). Impact of Climate Change Concerns on the Volatility of Green and Brown Stocks. MSc thesis, HEC Montréal.

David Ardia, Keven Bluteau (2024). Twitter and cryptocurrency pump-and-dumps. International Review of Financial Analysis, 95, 103479.

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Michael Pimentel (2024). Weathering the Markets: Exploring the Empirical Relationship Between Climate Change Concerns and Commodity Futures Contracts. MSc thesis, HEC Montréal.

David Ardia, Keven Bluteau, Kris Boudt, Koen Inghelbrecht (2023). Climate change concerns and the performance of green versus brown stocks. Management Science, 69(12), 7607–7632.

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David Ardia, Keven Bluteau, Thomas Lortie-Cloutier, Thien Duy Tran (2023). Factor exposure heterogeneity in green and brown stocks. Finance Research Letters, 55, 103900.

David Ardia, Keven Bluteau, Thien Duy Tran (2022). How easy is it for investment managers to deploy their talent in green and brown stocks?. Finance Research Letters, 48, 102992.

Jaime Casigay (2022). Application of Textual Sentiment Scores in Value-at-Risk Models. MSc thesis, HEC Montréal.

David Ardia, Keven Bluteau, Kris Boudt (2022). Media abnormal tone, earnings announcements, and the stock market. Journal of Financial Markets, 61, 100683.

David Ardia, Keven Bluteau, Samuel Borms, Kris Boudt (2021). The R package sentometrics to compute, aggregate, and predict with textual sentiment. Journal of Statistical Software, 99(2), 1–40.

David Ardia, Keven Bluteau, Alaa Kassem (2021). A century of economic policy uncertainty through the French-Canadian lens. Economics Letters, 205, 109938.

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Andres Algaba, Samuel Borms, Kris Boudt, Jeroen Van Pelt (2020). The economic policy uncertainty index for Flanders, Wallonia and Belgium. Bank- en Financiewezen, 2020/6.

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Samuel Borms (2020). Sentiment and Econometrics: Toward a Unified Framework of Textual Sentiment Analysis for Economic and Financial Applications. PhD thesis, University of Neuchâtel.

Andres Algaba, David Ardia, Keven Bluteau, Samuel Borms, Kris Boudt (2020). Econometrics meets sentiment: An overview of methodology and applications. Journal of Economic Surveys, 34(3), 512–547.

David Ardia, Keven Bluteau, Kris Boudt (2019). Questioning the news about economic growth: Sparse forecasting using thousands of news-based sentiment values. International Journal of Forecasting, 35(4), 1370–1386.

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Keven Bluteau (2019). Modeling Latent Variables in Economics and Finance. PhD thesis, University of Neuchâtel.

Kris Boudt, James Thewissen (2019). Jockeying for position in CEO letters: Impression management and sentiment analytics. Financial Management, 48(1), 77–115.

Kris Boudt, James Thewissen, Wouter Torsin (2018). When does the tone of earnings press releases matter?. International Review of Financial Analysis, 57, 231–245.

Özgür Arslan-Ayaydin, Kris Boudt, James Thewissen (2016). Managers set the tone: Equity incentives and the tone of earnings press releases. Journal of Banking & Finance, 72, S132–S147.