Reuters Sentiment and Stock Returns

被引：67

作者：

Uhl, Matthias W. ^{[1
]}

机构：

[1] UBS AG, CH-8001 Zurich, Switzerland

来源：

JOURNAL OF BEHAVIORAL FINANCE | 2014年 / 15卷 / 04期

关键词：

Reuters sentiment; Vector autoregression model; Stock returns; Out-of-sample forecasts; INVESTOR SENTIMENT; MARKET; NOISE; NEWS;

D O I：

10.1080/15427560.2014.967852

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Sentiment from more than 3.6 million Reuters news articles is tested in a vector autoregression model framework on its ability to forecast returns of the Dow Jones Industrial Average stock index. We show that Reuters sentiment can explain and predict changes in stock returns better than macroeconomic factors. We further find that negative Reuters sentiment has more predictive power than positive Reuters sentiment. Trading strategies with Reuters sentiment achieve significant outperformance with high success rates as well as high Sharpe ratios.

引用

页码：287 / 298

页数：12

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