Reuters Sentiment and Stock Returns
dc.contributor.author
Uhl, Matthias W.
dc.date.accessioned
2017-06-28T15:23:48Z
dc.date.available
2017-06-09T18:42:09Z
dc.date.available
2017-06-28T15:23:48Z
dc.date.issued
2011-09
dc.identifier.uri
http://hdl.handle.net/20.500.11850/45022
dc.identifier.doi
10.3929/ethz-a-006620590
dc.description.abstract
We 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_US
dc.format
application/pdf
dc.language.iso
en
en_US
dc.publisher
KOF Swiss Economic Institute, ETH Zurich
dc.rights.uri
http://rightsstatements.org/page/InC-NC/1.0/
dc.subject
INVESTMENT DECISIONS
en_US
dc.subject
BETRIEBSWIRTSCHAFTLICHE PROGNOSE
en_US
dc.subject
Out-of-sample forecasts
en_US
dc.subject
Reuters sentiment
en_US
dc.subject
MAKROÖKONOMISCHE MODELLE (OPERATIONS RESEARCH)
en_US
dc.subject
INVESTITIONSENTSCHEIDE
en_US
dc.subject
CAPITAL BUDGETING
en_US
dc.subject
Stock returns
en_US
dc.subject
INVESTITIONSRECHNUNG
en_US
dc.subject
BUSINESS FORECASTS
en_US
dc.subject
FINANCIAL MARKETS
en_US
dc.subject
MACROECONOMIC MODELS (OPERATIONS RESEARCH)
en_US
dc.subject
Vector error correction model
en_US
dc.subject
FINANZMÄRKTE
en_US
dc.title
Reuters Sentiment and Stock Returns
en_US
dc.type
Working Paper
dc.rights.license
In Copyright - Non-Commercial Use Permitted
ethz.journal.title
KOF Working Papers
ethz.journal.volume
288
en_US
ethz.size
36 p.
en_US
ethz.code.ddc
DDC - DDC::3 - Social sciences::330 - Economics
en_US
ethz.identifier.nebis
006620590
ethz.publication.place
Zürich
en_US
ethz.publication.status
published
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02120 - Dep. Management, Technologie und Ökon. / Dep. of Management, Technology, and Ec.::02525 - KOF Konjunkturforschungsstelle / KOF Swiss Economic Institute
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02120 - Dep. Management, Technologie und Ökon. / Dep. of Management, Technology, and Ec.::02525 - KOF Konjunkturforschungsstelle / KOF Swiss Economic Institute
ethz.date.deposited
2017-06-09T18:42:13Z
ethz.source
ECOL
ethz.source
ECIT
ethz.identifier.importid
imp59366b08b22d564152
ethz.identifier.importid
imp59364ee40883e76586
ethz.ecolpid
eth:3084
ethz.ecitpid
pub:74073
ethz.eth
yes
en_US
ethz.availability
Open access
en_US
ethz.rosetta.installDate
2017-06-28T15:23:50Z
ethz.rosetta.lastUpdated
2020-02-15T06:03:04Z
ethz.rosetta.versionExported
true
ethz.COinS
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