Reuters Sentiment and Stock Returns

Matthias Uhl


August 1, 2012

Journal of Behavioral Finance, forthcoming

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: 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
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