| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP16049 |
| DP16049 Media Sentiment and Currency Reversals | |
| Ilias Filippou; Mark Taylor; Zigan Wang | |
| 发表日期 | 2021-04-18 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | Analyzing 48 foreign exchange (FX) rates and 1.2 million FX-related news articles over a 35-year period, using digital textual analysis, we find that a currency reversal investment strategy that buys (sells) currencies with low (high) media sentiment offers strong positive and statistically significant returns and Sharpe ratios. The results are robust and the strategy adds value over other currency premia determinants such as carry and momentum. Analysts' forecasts systematically mispredict the reversal strategy. This is the first paper to show that price reversals based on media sentiment are a well-defined feature of the foreign exchange market. |
| 主题 | Financial Economics ; International Macroeconomics and Finance |
| 关键词 | Fx media news Digital text Currency risk premium Currency reversals |
| URL | https://cepr.org/publications/dp16049 |
| 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/545029 |
| 推荐引用方式 GB/T 7714 | Ilias Filippou,Mark Taylor,Zigan Wang. DP16049 Media Sentiment and Currency Reversals. 2021. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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