Sentiment During Recessions
University of North Carolina at Chapel Hill - Finance Area
June 15, 2012
Journal of Finance, Forthcoming
This paper studies the effect of sentiment on asset prices during the 20th century (1905 to 2005). As a proxy for sentiment, we use the fraction of positive and negative words in two columns of financial news from the New York Times. The main contribution of the paper is to show that, controlling for other well-known time-series patterns, the predictability of stock returns using news' content is concentrated in recessions. A one standard deviation shock to our news measure during recessions predicts a change in the conditional average return on the DJIA of twelve basis points over one day.
Number of Pages in PDF File: 41
Keywords: media content, stock returns, sentiment, recessions
JEL Classification: G01, G14Accepted Paper Series
Date posted: March 16, 2010 ; Last revised: September 18, 2012
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo6 in 0.453 seconds