Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/229107
Authors: 
Hvid, Anna Kirstine
Kristiansen, Kristian Loft
Year of Publication: 
2020
Series/Report no.: 
ECB Working Paper No. 2493
Abstract: 
A growing body of literature analyses the impact of news on companies' equity prices. We add to this literature by showing that the transmission channel of news to prices differs across sectors. First, we disentangle sectoral equity prices into components of expected future earnings and equity risk premia. Then, we evaluate how these react to general and sector specific sentiment shocks constructed from Reuters news articles. We find that price changes for especially the financial sector are mainly driven by changes in equity risk premia, while changes in earnings expectations play a comparatively larger role for other sectors.
Subjects: 
Text analysis
news sentiment
stock returns
equity risk premia
Dividend Discount Models
JEL: 
G10
G12
G14
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-4410-6
Document Type: 
Working Paper

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