News media and investor sentiment over the long run
Alan J. Hanna,
John D. Turner and
No 2017-06, QUCEH Working Paper Series from Queen's University Belfast, Queen's University Centre for Economic History
This paper studies the effect of investor sentiment on the London stock market on a daily basis over the period 1899 to 2010. We use a broad mix of reporting from the Financial Times as our proxy for investor sentiment. The main contribution of this paper is threefold. First, newspaper commentary, which was sentiment-laden, but information-light, in the Financial Times affects returns. Second, we find evidence that sentiment plays a role in propagating price movements, particularly during bull markets. Third, we find little evidence that the effect of sentiment on the market differs in bear versus bull markets.
Keywords: news media; investor sentiment; stock market; bull; bear (search for similar items in EconPapers)
JEL-codes: G12 N23 N24 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-his
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:qucehw:201706
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