Daily Market News Sentiment and Stock Prices

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dc.contributor.authorAllen, David E.
dc.contributor.authorMcAleer, Michael
dc.contributor.authorSingh, Abhay K.
dc.date.accessioned2023-06-19T23:56:18Z
dc.date.available2023-06-19T23:56:18Z
dc.date.issued2015
dc.descriptionPreprint submitted to Journal of Financial Markets
dc.description.abstractIn recent years there has been a tremendous growth in the influx of news related to traded assets in international financial markets. This financial news is now available via print media but also through real-time online sources such as internet news and social media sources. The increase in the availability of financial news and investor’s ease of access to it has a potentially significant impact on market price formation as these news items are swiftly transformed into investors sentiment which in turn drives prices. Various commercial agencies have started developing their own financial news data sets which are used by investors and traders to support their algorithmic trading strategies. Thomson Reuters News Analytics (TRNA)1 is one such data set. In this study we use the TRNA data set to construct a series of daily sentiment scores for Dow Jones Industrial Average (DJIA) stock index component companies. We use these daily DJIA market sentiment scores to study the influence of financial news sentiment scores on the stock prices of these companies using a multi-factor model. We use an augmented Fama French Three Factor Model to evaluate the additional effects of financial news sentiment on stock prices in the context of this model. Our results suggest that even when market factors are taken into account, sentiment scores have a significant effect on Dow Jones constituent company returns and that lagged daily sentiment scores are often significant, suggesting that information compounded in these scores is not immediately reflected in security prices and related return series.
dc.description.facultyFac. de Ciencias Económicas y Empresariales
dc.description.facultyInstituto Complutense de Análisis Económico (ICAE)
dc.description.refereedFALSE
dc.description.statusunpub
dc.eprint.idhttps://eprints.ucm.es/id/eprint/33044
dc.identifier.issn2341-2356
dc.identifier.relatedurlhttps://www.ucm.es/icae
dc.identifier.relatedurlhttps://www.ucm.es/fundamentos-analisis-economico2/documentos-de-trabajo-del-icae
dc.identifier.urihttps://hdl.handle.net/20.500.14352/41642
dc.issue.number11
dc.language.isoeng
dc.page.total43
dc.relation.ispartofseriesDocumentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE)
dc.rights.accessRightsopen access
dc.subject.jelG12
dc.subject.jelG140
dc.subject.jelC31
dc.subject.keywordSentiment Analysis
dc.subject.keywordFinancial News
dc.subject.keywordFactor Models
dc.subject.keywordAsset Pricing.
dc.subject.ucmEconometría (Economía)
dc.subject.ucmMercados bursátiles y financieros
dc.subject.unesco5302 Econometría
dc.titleDaily Market News Sentiment and Stock Prices
dc.typetechnical report
dc.volume.number2015
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