Time-variation in the impact of news sentiment |
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| Institution: | 1. Department of Business Administration, Faculty of Management, University of Haifa, Carmel Mount, Haifa 3498838, Israel;2. University of Haifa, Carmel Mount, Haifa 3498838, Israel;1. Faculty of Business and Economics, Monash University, Sir John Monash Drive, Melbourne, Australia;2. Business School, Trinity College Dublin, College Green, Dublin 2, Ireland |
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| Abstract: | Utilizing firm-specific news sentiment data provided by Thomson Reuters News Analytics, I construct aggregate measures to examine the relationship between news sentiment and stock market returns over the period 2004–2010. I find a highly significant relationship between aggregated measures of news sentiment and stock returns that fluctuates over time and by industry. I identify a link between the time-variation of news sentiment impact and industry beta, and determine that levels of investor sentiment (proxied by VIX) play an important role in explaining this variation. |
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