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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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Bibliographic Details
Main Authors: Fraiberger, Samuel P., Lee, Do, Puy, Damien, Rancier, Romain
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

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