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Autoren: 
Hanna, Alan J.
Turner, John D.
Walker, Clive B.
Datum: 
2017
Reihe/Nr.: 
QUCEH Working Paper Series 2017-06
Zusammenfassung: 
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.
Schlagwörter: 
news media
investor sentiment
stock market
bull
bear
JEL: 
G12
N23
N24
Dokumentart: 
Working Paper

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