G2TT
来源类型Discussion paper
规范类型论文
来源IDDP13366
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
URLhttps://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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