Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/146995
Title: EFFECT OF NEWS SENTIMENT ON STOCK RETURNS: A TEXTUAL ANALYSIS.
Authors: SHIANG CHEN TING
Keywords: news, sentiment analysis, predict, stock returns
Issue Date: 9-Apr-2018
Citation: SHIANG CHEN TING (2018-04-09). EFFECT OF NEWS SENTIMENT ON STOCK RETURNS: A TEXTUAL ANALYSIS.. ScholarBank@NUS Repository.
Abstract: This paper examines whether sentiment embedded in news stories is able to predict daily stock returns. After controlling for the existence of news, I find that news sentiment could predict stock prices in the short-term. Specifically, positive news predict a contemporaneous price increase, while negative news places downward pressure on prices for up to 7 days. Portfolio returns from a trading strategy that longs positive stocks and shorts negative stocks are positive and statistically significant. This study also finds that this news-based trading strategy shows the greatest returns for smaller stocks; this might carry practical implications for investors as they can focus on the subset of stocks with highest returns. Finally, I find that portfolio returns experience continuation for up to 5 days before reversing. I also find that trading volume increases after the release of negative news. These findings are aligned to sentiment rather than informational theories.
URI: http://scholarbank.nus.edu.sg/handle/10635/146995
Appears in Collections:Bachelor's Theses (Restricted)

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