Time-variation in the Impact of News Sentiment
| dc.contributor.author | Smales, Lee | |
| dc.date.accessioned | 2017-01-30T12:02:21Z | |
| dc.date.available | 2017-01-30T12:02:21Z | |
| dc.date.created | 2014-12-11T20:00:19Z | |
| dc.date.issued | 2015 | |
| dc.identifier.citation | Smales, L. 2015. Time-variation in the Impact of News Sentiment. International Review of Financial Analysis. 37: pp. 40-50. | |
| dc.identifier.uri | http://hdl.handle.net/20.500.11937/17516 | |
| dc.identifier.doi | 10.1016/j.irfa.2014.11.019 | |
| dc.description.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. | |
| dc.publisher | Elsevier BV | |
| dc.subject | sentiment | |
| dc.subject | Time-variation | |
| dc.subject | Industry portfolios | |
| dc.subject | VIX | |
| dc.subject | Stock Returns | |
| dc.title | Time-variation in the Impact of News Sentiment | |
| dc.type | Journal Article | |
| dcterms.source.volume | 37 | |
| dcterms.source.startPage | 40 | |
| dcterms.source.endPage | 50 | |
| dcterms.source.issn | 1057-5219 | |
| dcterms.source.title | International Review of Financial Analysis | |
| curtin.note |
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 | |
| curtin.department | School of Economics and Finance | |
| curtin.accessStatus | Open access |