Media Sentiment and UK Stock Returns

Nicky Ferguson (), Jie Guo (), Herbert Lam () and Dennis Philip ()
Additional contact information
Nicky Ferguson: Durham Business School
Jie Guo: Durham Business School
Herbert Lam: Renmin University of China
Dennis Philip: Durham Business School

No 2011_06, Department of Economics Working Papers from Durham University, Department of Economics

Abstract: This paper is the first to determine the effect that media sentiment has on stock returns for UK companies and tests whether there is any return predictability contained in the UK media sentiment data. We show that measures of positive and negative media sentiment have significant relationships with stock returns on the day news articles are published and that there is return predictability inherent in negative media sentiment the day following publication of media articles. We construct a news- based trading strategy to demonstrate the application of these results that earns significant positive abnormal returns.

Keywords: media sentiment; stock returns; textual analysis; news-based trading strategy (search for similar items in EconPapers)
JEL-codes: G10 G14 G17 (search for similar items in EconPapers)
Date: 2011-01-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:dur:durham:2011_06

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