Abstract

http://ssrn.com/abstract=1924867
 


 



Reuters Sentiment and Stock Returns


Matthias Uhl


University of Zurich - Department of Banking and Finance

December 2, 2014

Journal of Behavioral Finance, Vol 15 (4), pp. 287-298, 2014

Abstract:     
Sentiment from over 3.6 million Reuters news articles is tested in a vector autoregression model framework on its ability to forecast returns of the Dow Jones Industrials stock index. We show that Reuters sentiment can explain and predict changes in stock returns better than macroeconomic factors. We further find that negative Reuters sentiment has more predictive power than positive Reuters sentiment. Trading strategies with Reuters sentiment achieve significant outperformance with high success rates as well as high Sharpe ratios.

Keywords: Reuters sentiment, stock returns, out-of-sample forecasts, vector error correction model

JEL Classification: G11, G14, G17


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Date posted: September 10, 2011 ; Last revised: March 5, 2016

Suggested Citation

Uhl, Matthias, Reuters Sentiment and Stock Returns (December 2, 2014). Journal of Behavioral Finance, Vol 15 (4), pp. 287-298, 2014. Available at SSRN: http://ssrn.com/abstract=1924867 or http://dx.doi.org/10.2139/ssrn.1924867

Contact Information

Matthias Uhl (Contact Author)
University of Zurich - Department of Banking and Finance ( email )
Schönberggasse 1
Zürich, 8001
Switzerland
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