Media Sentiment and International Asset Prices
This paper assesses the impact of media sentiment on international equity prices using a dataset of more than 4.5 million Reuters articles published across the globe between 1991 and 2015. Media sentiment robustly predicts daily returns in both adv...
| Main Authors: | , , , |
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| Format: | Working Paper |
| Language: | English |
| Published: |
World Bank, Washington, DC
2018
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| Subjects: | |
| Online Access: | http://documents.worldbank.org/curated/en/555711542635807010/Media-Sentiment-and-International-Asset-Prices http://hdl.handle.net/10986/30980 |
| Summary: | This paper assesses the impact of media
sentiment on international equity prices using a dataset of
more than 4.5 million Reuters articles published across the
globe between 1991 and 2015. Media sentiment robustly
predicts daily returns in both advanced and emerging
markets, even after controlling for known determinants of
stock prices. But not all news sentiment is alike. A local
(country-specific) increase in news optimism (pessimism)
predicts a small and transitory increase (decrease) in local
returns. By contrast, changes in global news sentiment have
a larger impact on equity returns around the world, which
does not reverse in the short run. Media sentiment affects
mainly foreign -- rather than local -- investors: although
local news optimism attracts international equity flows for
a few days, global news optimism generates a permanent
foreign equity inflow. Our results confirm the value of
media content in capturing investor sentiment. |
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