Media sentiment and UK stock returns

Ferguson, Nicky; Guo, Jie; Lam, Herbert; Philip, Dennis

Media sentiment and UK stock returns

Ferguson, Nicky; Guo, Jie; Lam, Herbert; Philip, Dennis

Authors

Nicky Ferguson

Jie Guo

Herbert Lam

Professor Dennis Philip dennis.philip@durham.ac.uk
Professor

Abstract

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.

Citation

Ferguson, N., Guo, J., Lam, H., & Philip, D. (2011). Media sentiment and UK stock returns

Publication Date	Jan 1, 2011
Deposit Date	Dec 7, 2012
Publicly Available Date	Dec 7, 2012
Series Title	Durham University Business School Economics Finance Accounting Working Papers
Keywords	Media sentiment, Stock returns, Textual analysis, News-based trading strategy, JEL classifcation: G10 G14 G17.
Public URL	https://durham-repository.worktribe.com/output/1699619
Publisher URL	http://www.dur.ac.uk/business/faculty/working-papers/