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...
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INFORMATION
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2018/11/19
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Document de travail de recherche sur les politiques
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WPS8649
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1
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1
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2018/12/04
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Disclosed
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Media Sentiment and International Asset Prices
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capital flow
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