Time-variation in the impact of news sentiment

Lee Smales

International Review of Financial Analysis, 2015, vol. 37, issue C, 40-50

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.

Keywords: News sentiment; Industry portfolios; Time-variation; VIX; Stock Returns (search for similar items in EconPapers)
JEL-codes: G10 G12 G14 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:37:y:2015:i:c:p:40-50

DOI: 10.1016/j.irfa.2014.11.019

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