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    Time-variation in the Impact of News Sentiment

    212609_212609.pdf (1.290Mb)
    Access Status
    Open access
    Authors
    Smales, Lee
    Date
    2015
    Type
    Journal Article
    
    Metadata
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    Citation
    Smales, L. 2015. Time-variation in the Impact of News Sentiment. International Review of Financial Analysis. 37: pp. 40-50.
    Source Title
    International Review of Financial Analysis
    DOI
    10.1016/j.irfa.2014.11.019
    ISSN
    1057-5219
    School
    School of Economics and Finance
    Remarks

    NOTICE: this is the author’s version of a work that was accepted for publication in International Review of Financial Analysis. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in International Review of Financial Analysis, Vol. 37 (2015). DOI: 10.1016/j.irfa.2014.11.019

    URI
    http://hdl.handle.net/20.500.11937/17516
    Collection
    • Curtin Research Publications
    Abstract

    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.

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