| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13366 |
| DP13366 Media Sentiment and International Asset Prices | |
| Damien Puy; Romain Rancière | |
| 发表日期 | 2018-12-05 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | We investigate the relationship between media sentiment and international equity prices using a new dataset of 4 million news articles published between 1991 and 2015. Three key results emerge. First, news sentiment robustly predicts (future) daily returns around the world. How- ever, we find a sharp contrast between the effect of local news and that of global news: whereas local news optimism (pessimism) predicts a small and transitory increase (decrease) in local equity returns, global news sentiment has a larger impact on returns that does not reverse in the short run. Second, news sentiment affects local prices mainly through the investment decisions of foreign – rather than local – investors. Third, large variations in global news sentiment predominantly happen in the absence of new information about fundamentals, suggesting that movements in global sentiment capture variations in investors sentiment. Taken together, our findings illustrate the key role played by foreign news and investors sentiment in driving local asset prices. |
| 主题 | Financial Economics ; International Macroeconomics and Finance |
| 关键词 | Asset pricing Capital flows Behavioral finance Investor sentiment News media Natural language processing |
| URL | https://cepr.org/publications/dp13366 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/542177 |
| 推荐引用方式 GB/T 7714 | Damien Puy,Romain Rancière. DP13366 Media Sentiment and International Asset Prices. 2018. |
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