 Media sentiment and stock returnsMikael Bask, Lars Forsberg and Andreas Östling The Quarterly Review of Economics and Finance, 2024, vol. 94, issue C, 303-311 Abstract: Based on 35,344 news articles published in the Financial Times that cover 40 companies that have been included in the Dow Jones Industrial Average, we find that a negative media sentiment in the form of a negative language tone in news articles is a priced factor in five of nine asset-pricing models that aim to explain the cross-section of stock returns. In particular, the sentiment factor is a priced factor in the market model augmented with the sentiment factor in all three samples—the 2005–09 subsample, the 2010–18 subsample, and the 2005–18 full sample—and in the Fama-French three- and five-factor models augmented with the sentiment factor in the 2010–18 subsample. In addition, factor-spanning regressions with the Fama-French five-factor model as the right-hand-side model confirm that the sentiment factor contributes to the model’s explanation of the stocks’ mean excess returns in the 2005–09 subsample and the 2005–18 full sample. Keywords: Asset pricing; Factor models; Fama-French; News articles; Sentiment (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:94:y:2024:i:c:p:303-311 DOI: 10.1016/j.qref.2024.02.008 Access Statistics for this article The Quarterly Review of Economics and Finance is currently edited by R. J. Arnould and J. E. Finnerty More articles in The Quarterly Review of Economics and Finance from Elsevier |
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