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dc.contributor.authorUhl, Matthias W.en_US
dc.date.accessioned2011-09-27en_US
dc.date.accessioned2011-10-06T15:41:09Z-
dc.date.available2011-10-06T15:41:09Z-
dc.date.issued2011en_US
dc.identifier.pidoi:10.3929/ethz-a-006620590en_US
dc.identifier.urihttp://hdl.handle.net/10419/50401-
dc.description.abstractWe examine the statistical power of fundamental and behavioural factors with regards to stock returns of the Dow Jones Industrials Index. With a novel sentiment dataset from over 3.6 million Reuters news articles, we find signifcant correlations between Reuters sentiment and stock returns. We show with vector autoregression and error correction models that sentiment can explain and predict changes in stock returns better than macroeconomic factors. Considering positive and negative sections of Reuters sentiment, we find that negative sentiment performs better in simple trading strategies to predict stock returns than positive sentiment, while the sentiment effect remains over months.en_US
dc.language.isoengen_US
dc.publisherKOF Zürichen_US
dc.relation.ispartofseriesKOF working papers // KOF Swiss Economic Institute, ETH Zurich 288en_US
dc.subject.jelG11en_US
dc.subject.jelG14en_US
dc.subject.jelG17en_US
dc.subject.ddc330en_US
dc.subject.keywordReuters sentimenten_US
dc.subject.keywordstock returnsen_US
dc.subject.keywordout-of-sample forecastsen_US
dc.subject.keywordvector error correction modelen_US
dc.titleReuters sentiment and stock returnsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn66893302Xen_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:KOF Working Papers, KOF Konjunkturforschungsstelle, ETH Zürich

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