13.B REFERENCES

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Chen N.F.; Roll R.; Ross S.A. (1986) “Economic forces and the stock market,” Journal of Business, 59(3), 383–404.

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diBartolomeo D.; Warrick S. (2005) “Making covariance based portfolio risk models sensitive to the rate at which markets reflect new information,” in J. Knight and S. Satchell (Eds.), Linear Factor Models, Elsevier Finance.

Ederington L.H.; Lee J.H. (1993) “How markets process information: News releases and volatility,” Journal of Finance, 48, 1161–1191.

Fama E.F.; French K.R. (1992) “The cross-section of expected stock returns,” Journal of Finance, 47(2), 427–466.

Fama E.F.; French K.R. (1993) “Common risk factors in the returns on stocks and bonds,” Journal of Financial Economics, 33, 3–56.

Jalen L. (2008) News Scores for EURO STOXX 50, RavenPack International.

Goldman Sachs (2008) Headline Numbers: The Effects of News on Market Microstructures, Internal Report, Goldman Sachs.

RavenPack (2008) RavenPack's Analytics Knowledge Base, RavenPack International.

Rosenberg. B. (1974) “Extra-market components of covariance in security returns,” Journal of Financial and Quantitative Analysis, 9(2), 263–273.

Scowcroft A.; Sefton J. (2006) Understanding Factor Models, UBS Investment Research.

Shah A. (2008) ...

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