Abstract

http://ssrn.com/abstract=1924867
 
 

Footnotes (17)



 


 



Reuters Sentiment and Stock Returns


Matthias Uhl


UBS AG

August 1, 2012

Journal of Behavioral Finance, forthcoming

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

Accepted Paper Series


Not Available For Download

Date posted: September 10, 2011 ; Last revised: August 24, 2012

Suggested Citation

Uhl, Matthias, Reuters Sentiment and Stock Returns (August 1, 2012). Journal of Behavioral Finance, forthcoming. Available at SSRN: http://ssrn.com/abstract=1924867 or http://dx.doi.org/10.2139/ssrn.1924867

Contact Information

Matthias Uhl (Contact Author)
UBS AG ( email )
Pelikanstrasse 11
Zurich, 8001
Switzerland
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