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...

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Main Authors:	Fraiberger, Samuel P., Lee, Do, Puy, Damien, Rancier, Romain
Format:	Working Paper
Language:	English
Published:	World Bank, Washington, DC 2018
Subjects:	ASSET PRICING CAPITAL FLOWS BEHAVIORAL FINANCE INVESTOR SENTIMENT NEWS MEDIA NATURAL LANGUAGE PROCESSING INTERNATIONAL ASSET PRICES FOREIGN INVESTMENT
Online Access:	http://documents.worldbank.org/curated/en/555711542635807010/Media-Sentiment-and-International-Asset-Prices http://hdl.handle.net/10986/30980

id	okr-10986-30980
recordtype	oai_dc
spelling	okr-10986-309802022-09-20T00:14:12Z Media Sentiment and International Asset Prices Fraiberger, Samuel P. Lee, Do Puy, Damien Rancier, Romain ASSET PRICING CAPITAL FLOWS BEHAVIORAL FINANCE INVESTOR SENTIMENT NEWS MEDIA NATURAL LANGUAGE PROCESSING INTERNATIONAL ASSET PRICES FOREIGN INVESTMENT 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. 2018-12-11T17:58:59Z 2018-12-11T17:58:59Z 2018-11 Working Paper http://documents.worldbank.org/curated/en/555711542635807010/Media-Sentiment-and-International-Asset-Prices http://hdl.handle.net/10986/30980 English Policy Research Working Paper;No. 8649 CC BY 3.0 IGO http://creativecommons.org/licenses/by/3.0/igo World Bank World Bank, Washington, DC Publications & Research :: Policy Research Working Paper Publications & Research
repository_type	Digital Repository
institution_category	Foreign Institution
institution	Digital Repositories
building	World Bank Open Knowledge Repository
collection	World Bank
language	English
topic	ASSET PRICING CAPITAL FLOWS BEHAVIORAL FINANCE INVESTOR SENTIMENT NEWS MEDIA NATURAL LANGUAGE PROCESSING INTERNATIONAL ASSET PRICES FOREIGN INVESTMENT
spellingShingle	ASSET PRICING CAPITAL FLOWS BEHAVIORAL FINANCE INVESTOR SENTIMENT NEWS MEDIA NATURAL LANGUAGE PROCESSING INTERNATIONAL ASSET PRICES FOREIGN INVESTMENT Fraiberger, Samuel P. Lee, Do Puy, Damien Rancier, Romain Media Sentiment and International Asset Prices
relation	Policy Research Working Paper;No. 8649
description	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.
format	Working Paper
author	Fraiberger, Samuel P. Lee, Do Puy, Damien Rancier, Romain
author_facet	Fraiberger, Samuel P. Lee, Do Puy, Damien Rancier, Romain
author_sort	Fraiberger, Samuel P.
title	Media Sentiment and International Asset Prices
title_short	Media Sentiment and International Asset Prices
title_full	Media Sentiment and International Asset Prices
title_fullStr	Media Sentiment and International Asset Prices
title_full_unstemmed	Media Sentiment and International Asset Prices
title_sort	media sentiment and international asset prices
publisher	World Bank, Washington, DC
publishDate	2018
url	http://documents.worldbank.org/curated/en/555711542635807010/Media-Sentiment-and-International-Asset-Prices http://hdl.handle.net/10986/30980
_version_	1764473316315234304

Media Sentiment and International Asset Prices

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