Sector News Sentiment Indices
25 Pages Posted: 5 Dec 2017
Date Written: November 30, 2017
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
Suggested Citation: Suggested Citation