News Media and Investor Sentiment over the Long Run
46 Pages Posted: 30 Aug 2017
Date Written: August 21, 2017
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: Suggested Citation