Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/227859
Authors: 
Daetz, Stine Louise
Hvid, Anna Kirstine
Martinello, Alessandro
Matin, Rastin
Year of Publication: 
2019
Series/Report no.: 
Danmarks Nationalbank Working Papers No. 141
Abstract: 
The sentiment of news predicts the short-term stock market performance of individual companies. We find that this association is solely due to the idiosyncratic informational content of an article. We transparently quantify the association between news sentiment and stock market performance of S&P 500 companies, using articles written by Reuters between 2000 and 2018. First, we isolate the effect of sentiment independently of idiosyncratic informational content by exploiting a topicbased shift-share instrument. Second, we show that exogenous variation in article sentiment isolated through our topic-based shiftshare instrument, while strongly related to article sentiment, is unrelated to abnormal returns in the stock market.
Subjects: 
Financial markets
Financial sector
Forecasting
Statistical method
JEL: 
C55
D53
G15
G17
Document Type: 
Working Paper

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