Sector News Sentiment Indices

Abstract

We present the sector-based news sentiment indices, which track, for a given industry or sector, the current media sentiment about this sector. The sentiment index for a particular sector has a natural relationship to the basket of stocks of publicly traded companies operating in this sector or the corresponding sector's ETF. We empirically investigate this relationship for 11 sectors and show that this relationship is particularly significant at times of market downturns. We demonstrate the added value of such sentiment indices in sector-rotation investment strategies.

Keywords: News sentiment, Sector rotation, Investment strategies

JEL Classification: G11, G41