“…A vast early literature has attempted to capture the market sentiment using macroeconomic announcements (e.g., Balduzzi, Elton, & Green, 2001;Barnhart, 1989;Boyd, Hu, & Jagannathan, 2005;Hess, Huang, & Niessen, 2008;Nowak, Andritzky, Jobst, & Tamirisa, 2011;Simpson & Ramchander, 2004;Simpson, Ramchander, & Chaudhry, 2005;Smales, 2013;Smales & Yang, 2015). As Baker and Wurgler (2006) pointed out, other studies have used market-based measures like the closed-end fund discount and the exchange turnover to construct a proxy for sentiment (e.g., Bahloul & Bouri, 2016;Gao & Süss, 2015;Zheng, 2015). In recent years, the development of news analytics has offered a more direct measure for capturing market sentiment.…”