Time-variation in the impact of news sentiment

Lee A. Smales

doi:10.1016/j.irfa.2014.11.019

Time-variation in the impact of news sentiment

Lee A. Smales

Research output: Contribution to journal › Article › peer-review

18 Citations (Scopus)

Abstract

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.

Original language	English
Pages (from-to)	40-50
Number of pages	11
Journal	International Review of Financial Analysis
Volume	37
DOIs	https://doi.org/10.1016/j.irfa.2014.11.019
Publication status	Published - 1 Jan 2015
Externally published	Yes

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10.1016/j.irfa.2014.11.019

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title = "Time-variation in the impact of news sentiment",

abstract = "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.",

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AB - 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.

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KW - News sentiment

KW - Stock Returns

KW - Time-variation

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Time-variation in the impact of news sentiment

Abstract

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