Time-variation in the impact of news sentiment

Research output: Contribution to journalArticlepeer-review

18 Citations (Scopus)


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 languageEnglish
Pages (from-to)40-50
Number of pages11
JournalInternational Review of Financial Analysis
Publication statusPublished - 1 Jan 2015
Externally publishedYes


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