Media Sentiment and International Asset Prices

Samuel P. Fraiberger, Do Lee, Damien Puy and Romain Ranciere

No 25353, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We investigate the relationship between media sentiment and international equity prices using a new dataset of 4 million news articles published between 1991 and 2015. Three key results emerge. First, news sentiment robustly predicts (future) daily returns around the world. However, we find a sharp contrast between the effect of local news and that of global news: whereas local news optimism (pessimism) predicts a small and transitory increase (decrease) in local equity returns, global news sentiment has a larger impact on returns that does not reverse in the short run. Second, news sentiment affects local prices mainly through the investment decisions of foreign — rather than local — investors. Third, large variations in global news sentiment predominantly happen in the absence of new information about fundamentals, suggesting that movements in global sentiment capture variations in investors sentiment. Taken together, our findings illustrate the key role played by foreign news and investors sentiment in driving local asset prices.

JEL-codes: F3 G12 G14 G15 (search for similar items in EconPapers)
Date: 2018-12
New Economics Papers: this item is included in nep-ifn
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Citations: View citations in EconPapers (15)

Published as Samuel P. Fraiberger & Do Lee & Damien Puy & Romain Ranciere, 2021. "Media sentiment and international asset prices," Journal of International Economics, vol 133.

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Related works:
Journal Article: Media sentiment and international asset prices (2021)
Working Paper: Media Sentiment and International Asset Prices (2018)
Working Paper: Media Sentiment and International Asset Prices (2018)
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