Stock-specific sentiment and return predictability

Guillaume Coqueret

Quantitative Finance, 2020, vol. 20, issue 9, 1531-1551

Abstract: This paper quantifies the impact of stock-specific news sentiment on future financial returns. Daily predictive regressions yield significant t-statistics for 7% at most of our sample of more than 1000 large stocks listed in the USA. While a few assets do run through pockets of predictability, the evidence suggests that the feedback effect is stronger in the reverse direction: returns are more likely to drive future sentiment than the other way around.

Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:taf:quantf:v:20:y:2020:i:9:p:1531-1551

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DOI: 10.1080/14697688.2020.1736314

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