Time-variation in the Impact of News Sentiment
Utilizing firm-specific news sentiment data provided by Thomson Reuters News Analytics, I construct aggregate measures to examine the relationship between news sentiment and stock market returns over the period 2004–2010. I find a highly significant relationship between aggregated measures of news s...
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| Format: | Journal Article |
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Elsevier BV
2015
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| Online Access: | http://hdl.handle.net/20.500.11937/17516 |
| _version_ | 1848749487010349056 |
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| author | Smales, Lee |
| author_facet | Smales, Lee |
| author_sort | Smales, Lee |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | Utilizing firm-specific news sentiment data provided by Thomson Reuters News Analytics, I construct aggregate measures to examine the relationship between news sentiment and stock market returns over the period 2004–2010. I find a highly significant relationship between aggregated measures of news sentiment and stock returns that fluctuates over time and by industry. I identify a link between the time-variation of news sentiment impact and industry beta, and determine that levels of investor sentiment (proxied by VIX) play an important role in explaining this variation. |
| first_indexed | 2025-11-14T07:21:43Z |
| format | Journal Article |
| id | curtin-20.500.11937-17516 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T07:21:43Z |
| publishDate | 2015 |
| publisher | Elsevier BV |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-175162019-02-19T04:26:26Z Time-variation in the Impact of News Sentiment Smales, Lee sentiment Time-variation Industry portfolios VIX Stock Returns Utilizing firm-specific news sentiment data provided by Thomson Reuters News Analytics, I construct aggregate measures to examine the relationship between news sentiment and stock market returns over the period 2004–2010. I find a highly significant relationship between aggregated measures of news sentiment and stock returns that fluctuates over time and by industry. I identify a link between the time-variation of news sentiment impact and industry beta, and determine that levels of investor sentiment (proxied by VIX) play an important role in explaining this variation. 2015 Journal Article http://hdl.handle.net/20.500.11937/17516 10.1016/j.irfa.2014.11.019 Elsevier BV fulltext |
| spellingShingle | sentiment Time-variation Industry portfolios VIX Stock Returns Smales, Lee Time-variation in the Impact of News Sentiment |
| title | Time-variation in the Impact of News Sentiment |
| title_full | Time-variation in the Impact of News Sentiment |
| title_fullStr | Time-variation in the Impact of News Sentiment |
| title_full_unstemmed | Time-variation in the Impact of News Sentiment |
| title_short | Time-variation in the Impact of News Sentiment |
| title_sort | time-variation in the impact of news sentiment |
| topic | sentiment Time-variation Industry portfolios VIX Stock Returns |
| url | http://hdl.handle.net/20.500.11937/17516 |