News Media and Investor Sentiment over the Long Run

Research output: Working paper

Abstract

This paper studies the effect of investor sentiment on the London stock market on a daily basis over the period 1899 to 2010. We use a broad mix of reporting from the Financial Times as our proxy for investor sentiment. The main contribution of this paper is threefold. First, newspaper commentary, which was sentiment-laden, but information-light, in the Financial Times affects returns. Second, we find evidence that sentiment plays a role in propagating price movements, particularly during bull markets. Third, we find little evidence that the effect of sentiment on the market differs in bear versus bull markets.
Original languageEnglish
Publication statusPublished - 30 Aug 2017

Keywords

  • News Media
  • Stock Market
  • Bull
  • Bear
  • Investor Sentiment

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