کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5084738 1477916 2015 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Time-variation in the impact of news sentiment
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Time-variation in the impact of news sentiment
چکیده انگلیسی

Utilizing firm-specific news sentiment data provided by Thomson Reuters News Analytics, I construct aggregate measures to examine the relationship between news sentiment and stock market returns over the period 2004-2010. I find a highly significant relationship between aggregated measures of news sentiment and stock returns that fluctuates over time and by industry. I identify a link between the time-variation of news sentiment impact and industry beta, and determine that levels of investor sentiment (proxied by VIX) play an important role in explaining this variation.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 37, January 2015, Pages 40-50
نویسندگان
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