News media and investor sentiment over the long run

Arbeitspapier

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.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: QUCEH Working Paper Series ; No. 2017-06

Klassifikation und Themen

• Klassifikation: 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-
• Thema: news media ; investor sentiment ; stock market ; bull ; bear

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Hanna, Alan J. ; Turner, John D. ; Walker, Clive B.
• Ereignis: Veröffentlichung
• (wer): Queen's University Centre for Economic History (QUCEH)
• (wo): Belfast
• (wann): 2017

Weitere Informationen

• Handle: http://hdl.handle.net/10419/168364
• Letzte Aktualisierung: 10.03.2025, 11:41 MEZ