Reuters sentiment and stock returns

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: KOF Working Papers ; No. 288

Classification and Topics

• Classification: Wirtschaft ; Portfolio Choice; Investment Decisions ; Information and Market Efficiency; Event Studies; Insider Trading ; Financial Forecasting and Simulation
• Subject: Reuters sentiment ; stock returns ; out-of-sample forecasts ; vector error correction model

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Uhl, Matthias W.
• Event: Veröffentlichung
• (who): ETH Zurich, KOF Swiss Economic Institute
• (where): Zurich
• (when): 2011

Further information

• DOI: doi:10.3929/ethz-a-006620590
• Handle: http://hdl.handle.net/10419/50401
• Last update: 10.03.2025, 11:41 AM CET