Investor Sentiment in News and the Calendar Anomaly -- New Evidence from a Large Textual Data

16 Pages Posted: 12 Feb 2014

See all articles by Katsuhiko Okada

Katsuhiko Okada

Kwansei Gakuin University Business School

Takahiro Yamasaki

Osaka Sangyo University

Date Written: February 11, 2014

Abstract

The well-known stock market adage "sell in May and go away" arose from long-term stock market seasonality in major financial markets around the globe. Kamastra, Kramer and Levy (2003) present evidence that Seasonal Affective Disorder causes this seasonality, as this condition has a profound effect on people’s mood and makes people increasingly risk averse as daylight diminishes with the onset of winter. In this paper, we present evidence that change in market mood is reflected in the prospect statement in the news text. We employ a text-mining technique to analyze a large quantity of newspaper articles for the period 1986–2010 and created our market mood proxy. We find investor psychology is skewed to optimism in the first half of the calendar year and pessimism in the latter. We also find that semi-annual mood fluctuation is synchronous with market seasonality.

Keywords: Seasonality, Textual Analysis, Anomaly, Support Vector Machine, Market Psychology, Sell in May, Big Data

JEL Classification: G12, G14

Suggested Citation

Okada, Katsuhiko and Yamasaki, Takahiro, Investor Sentiment in News and the Calendar Anomaly -- New Evidence from a Large Textual Data (February 11, 2014). Available at SSRN: https://ssrn.com/abstract=2394008 or http://dx.doi.org/10.2139/ssrn.2394008

Katsuhiko Okada (Contact Author)

Kwansei Gakuin University Business School ( email )

1-1-155, Uegahara, Nishinomiya
Hyogo, 669-1337
Japan
1798546377 (Phone)

HOME PAGE: http://www.kwansei-ac.jp/iba/index.html

Takahiro Yamasaki

Osaka Sangyo University ( email )

Japan

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