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Reuters Sentiment and Stock Returns

Matthias Uhl

出版	SSRN, 2016
URL	http://books.google.com.hk/books?id=jM77zgEACAAJ&hl=&source=gbs_api

註釋

Sentiment from over 3.6 million Reuters news articles is tested in a vector autoregression model framework on its ability to forecast returns of the Dow Jones Industrials stock index. We show that Reuters sentiment can explain and predict changes in stock returns better than macroeconomic factors. We further find that negative Reuters sentiment has more predictive power than positive Reuters sentiment. Trading strategies with Reuters sentiment achieve significant outperformance with high success rates as well as high Sharpe ratios.