|
EconStor >
Eidgenössische Technische Hochschule (ETH) Zürich >
KOF Konjunkturforschungsstelle, ETH Zürich >
KOF Working Papers, KOF Konjunkturforschungsstelle, ETH Zürich >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/50401
|
| | |
| Title: | | Reuters sentiment and stock returns  |
| Authors: | | Uhl, Matthias W. |
| Issue Date: | | 2011 |
| Series/Report no.: | | KOF working papers // KOF Swiss Economic Institute, ETH Zurich 288 |
| Abstract: | | We 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. |
| Subjects: | | Reuters sentiment stock returns out-of-sample forecasts vector error correction model |
| JEL: | | G11 G14 G17 |
| Persistent Identifier of the first edition: | | doi:10.3929/ethz-a-006620590 |
| Document Type: | | Working Paper |
| Appears in Collections: | | KOF Working Papers, KOF Konjunkturforschungsstelle, ETH Zürich
|
| |
| | |
Download bibliographical data as:
BibTeX
|
| |
Share on:http://hdl.handle.net/10419/50401
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|