Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/50401
Authors: 
Uhl, Matthias W.
Year of Publication: 
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: 
Document Type: 
Working Paper

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