Arbeitspapier
Reuters sentiment and stock returns
We examine the statistical power of fundamental and behavioural factors with regards to stock returns of the Dow Jones Industrials Index. With a novel sentiment dataset from over 3.6 million Reuters news articles, we find signifcant correlations between Reuters sentiment and stock returns. We show with vector autoregression and error correction models that sentiment can explain and predict changes in stock returns better than macroeconomic factors. Considering positive and negative sections of Reuters sentiment, we find that negative sentiment performs better in simple trading strategies to predict stock returns than positive sentiment, while the sentiment effect remains over months.
- Sprache
-
Englisch
- Erschienen in
-
Series: KOF Working Papers ; No. 288
- Klassifikation
-
Wirtschaft
Portfolio Choice; Investment Decisions
Information and Market Efficiency; Event Studies; Insider Trading
Financial Forecasting and Simulation
- Thema
-
Reuters sentiment
stock returns
out-of-sample forecasts
vector error correction model
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Uhl, Matthias W.
- Ereignis
-
Veröffentlichung
- (wer)
-
ETH Zurich, KOF Swiss Economic Institute
- (wo)
-
Zurich
- (wann)
-
2011
- DOI
-
doi:10.3929/ethz-a-006620590
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Uhl, Matthias W.
- ETH Zurich, KOF Swiss Economic Institute
Entstanden
- 2011
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