Time-variation in the Impact of News Sentiment

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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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Bibliographic Details
Main Author:	Smales, Lee
Format:	Journal Article
Published:	Elsevier BV 2015
Subjects:	sentiment Time-variation Industry portfolios VIX Stock Returns
Online Access:	http://hdl.handle.net/20.500.11937/17516

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