Ferguson, Nicky and Guo, Jie and Lam, Herbert and Philip, Dennis (2011) 'Media sentiment and UK stock returns.', Working Paper. Durham University, Durham.
This paper is the first to determine the effect that media sentiment has on stockreturns for UK companies and tests whether there is any return predictabilitycontained in the UK media sentiment data. We show that measures of positive andnegative media sentiment have significant relationships with stock returns on the daynews articles are published and that there is return predictability inherent in negativemedia sentiment the day following publication of media articles. We construct a news-based trading strategy to demonstrate the application of these results that earnssignificant positive abnormal returns.
|Item Type:||Monograph (Working Paper)|
|Keywords:||Media sentiment, Stock returns, Textual analysis, News-based trading strategy, JEL classifcation: G10 G14 G17.|
|Full text:||PDF - Published Version (413Kb)|
|Publisher Web site:||http://www.dur.ac.uk/business/faculty/working-papers/|
|Record Created:||07 Dec 2012 10:36|
|Last Modified:||07 Dec 2012 12:44|
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