Arbeitspapier

News media and investor sentiment over the long run

This paper studies the effect of investor sentiment on the London stock market on a daily basis over the period 1899 to 2010. We use a broad mix of reporting from the Financial Times as our proxy for investor sentiment. The main contribution of this paper is threefold. First, newspaper commentary, which was sentiment-laden, but information-light, in the Financial Times affects returns. Second, we find evidence that sentiment plays a role in propagating price movements, particularly during bull markets. Third, we find little evidence that the effect of sentiment on the market differs in bear versus bull markets.

Language
Englisch

Bibliographic citation
Series: QUCEH Working Paper Series ; No. 2017-06

Classification
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Economic History: Financial Markets and Institutions: Europe: Pre-1913
Economic History: Financial Markets and Institutions: Europe: 1913-
Subject
news media
investor sentiment
stock market
bull
bear

Event
Geistige Schöpfung
(who)
Hanna, Alan J.
Turner, John D.
Walker, Clive B.
Event
Veröffentlichung
(who)
Queen's University Centre for Economic History (QUCEH)
(where)
Belfast
(when)
2017

Handle
Last update
10.03.2025, 11:41 AM CET

Data provider

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Object type

  • Arbeitspapier

Associated

  • Hanna, Alan J.
  • Turner, John D.
  • Walker, Clive B.
  • Queen's University Centre for Economic History (QUCEH)

Time of origin

  • 2017

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