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dc.contributor.authorUhl, Matthias W.en
dc.date.accessioned2011-09-27-
dc.date.accessioned2011-10-06T15:41:09Z-
dc.date.available2011-10-06T15:41:09Z-
dc.date.issued2011-
dc.identifier.pidoi:10.3929/ethz-a-006620590en
dc.identifier.urihttp://hdl.handle.net/10419/50401-
dc.description.abstractWe 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.en
dc.language.isoengen
dc.publisher|aETH Zurich, KOF Swiss Economic Institute |cZurichen
dc.relation.ispartofseries|aKOF Working Papers |x288en
dc.subject.jelG11en
dc.subject.jelG14en
dc.subject.jelG17en
dc.subject.ddc330en
dc.subject.keywordReuters sentimenten
dc.subject.keywordstock returnsen
dc.subject.keywordout-of-sample forecastsen
dc.subject.keywordvector error correction modelen
dc.titleReuters sentiment and stock returns-
dc.typeWorking Paperen
dc.identifier.ppn66893302Xen
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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