Media sentiment and UK stock returns

Ferguson, Nicky; Guo, Jie; Lam, Herbert; Philip, Dennis

Abstract

This paper is the first to determine the effect that media sentiment has on stockreturns for UK companies and tests whether there is any return predictabilitycontained in the UK media sentiment data. We show that measures of positive andnegative media sentiment have significant relationships with stock returns on the daynews articles are published and that there is return predictability inherent in negativemedia sentiment the day following publication of media articles. We construct a news-based trading strategy to demonstrate the application of these results that earnssignificant positive abnormal returns.

Citation

Ferguson, N., Guo, J., Lam, H., & Philip, D. (2011). Media sentiment and UK stock returns

• Working Paper Type: Working Paper
• Publication Date: Jan 1, 2011
• Deposit Date: Dec 7, 2012
• Publicly Available Date: Dec 7, 2012
• Series Title: Durham University Business School Economics Finance Accounting Working Papers
• Keywords: Media sentiment, Stock returns, Textual analysis, News-based trading strategy, JEL classifcation: G10 G14 G17.
• Public URL: https://durham-repository.worktribe.com/output/1699619
• Publisher URL: http://www.dur.ac.uk/business/faculty/working-papers/