Before revision:  Finally, using quantile regressions, we assess the significance of the contemporaneous and lagged explanatory power of sentiment on returns finding strong statistical evidence when extreme returns, especially negative ones, are considered  .
After revision:  Finally, using quantile regressions, we assess the significance of the contemporaneous and lagged explanatory power of sentiment on returns finding strong statistical evidence when extreme returns, especially negative ones, are considered . Finally, the lagged relation is exploited in a portfolio allocation exercise .