悲观
经济
衡平法
乐观 主义
金融经济学
资产(计算机安全)
货币经济学
政治学
计算机科学
哲学
计算机安全
认识论
法学
心理学
社会心理学
作者
Samuel P. Fraiberger,Do Lee,Damien Puy,Romain Rancière
标识
DOI:10.1016/j.jinteco.2021.103526
摘要
We investigate the relationship between media sentiment and international equity prices using a new dataset of 4 million news articles published between 1991 and 2015. Three key results emerge. First, news sentiment robustly predicts future daily returns around the world. However, we find a sharp contrast between the effect of local news and that of global news: whereas local news optimism (pessimism) predicts a small and transitory increase (decrease) in local equity returns, global news sentiment has a larger impact on returns that does not reverse in the short run. Second, news sentiment affects local prices mainly through the investment decisions of foreign—rather than local—investors. Third, large variations in global news sentiment predominantly happen in the absence of new information about fundamentals, suggesting that movements in global sentiment capture variations in investors sentiment. Taken together, our findings illustrate the key role played by foreign news and investors sentiment in driving local asset prices.
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