G2TT
来源类型Discussion paper
规范类型论文
来源IDDP16049
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
URLhttps://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.
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