News Media and Investor Sentiment over the Long Run

46 Pages Posted: 30 Aug 2017

See all articles by Alan Hanna

Alan Hanna

Queen's University Belfast; Queen's University Belfast - Queen's Management School

John D. Turner

Queen's University Belfast; Queen's University Belfast - Queen's Management School

Clive Walker

Queen's University Belfast; Queen's University Belfast - Queen's Management School

Date Written: August 21, 2017

Abstract

This paper studies the effect of investor sentiment on the London stock market on a daily basis over the period 1899 to 2010. We use a broad mix of reporting from the Financial Times as our proxy for investor sentiment. The main contribution of this paper is threefold. First, newspaper commentary, which was sentiment-laden, but information-light, in the Financial Times affects returns. Second, we find evidence that sentiment plays a role in propagating price movements, particularly during bull markets. Third, we find little evidence that the effect of sentiment on the market differs in bear versus bull markets.

Keywords: News Media, Investor Sentiment, Stock Market, Bull, Bear

JEL Classification: G12, N23, N24

Suggested Citation

Hanna, Alan and Turner, John D. and Walker, Clive, News Media and Investor Sentiment over the Long Run (August 21, 2017). Available at SSRN: https://ssrn.com/abstract=3027887 or http://dx.doi.org/10.2139/ssrn.3027887

Alan Hanna

Queen's University Belfast ( email )

185 Stranmillis Rd
Belfast, BT9 5EE
United Kingdom
+44 (0)28 9097 4200 (Phone)

HOME PAGE: http://qub.ac.uk/mgt/

Queen's University Belfast - Queen's Management School ( email )

Riddel Hall
185 Stranmillis Road
Belfast, BT9 5EE
United Kingdom

John D. Turner

Queen's University Belfast ( email )

David Leir Building
Belfast BT7 1NN, BT9 5AG
Ireland

Queen's University Belfast - Queen's Management School

Riddel Hall
185 Stranmillis Road
Belfast, BT9 5EE
United Kingdom

Clive Walker (Contact Author)

Queen's University Belfast ( email )

Riddel Hall
185 Stranmillis Road
Belfast, BT9 5EE
United Kingdom

Queen's University Belfast - Queen's Management School

Riddel Hall
185 Stranmillis Road
Belfast, BT9 5EE
United Kingdom

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