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Media Sentiment and International Asset Prices

Author: Samuel P Fraiberger; Do Lee; Damien Puy
Publisher: Washington, D.C. : International Monetary Fund, 2018.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
We assess the impact of media sentiment on international equity prices using more than 4.5 million Reuters articles published across the globe between 1991 and 2015. News 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)  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Fraiberger, Samuel P.
Media Sentiment and International Asset Prices.
Washington, D.C. : International Monetary Fund, ©2018
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Samuel P Fraiberger; Do Lee; Damien Puy
ISBN: 9781484390955 1484390954
OCLC Number: 1082195222
Description: 1 online resource (34 pages)
Contents: Cover; Media Sentiment and International Asset Prices; I. Introduction; II. Data description; III. News, Sentiment and Equity Returns; IV. A further look at the Global News Sentiment Index; V. Robustness and Extensions; VI. Conclusion

Abstract:

We assess the impact of media sentiment on international equity prices using more than 4.5 million Reuters articles published across the globe between 1991 and 2015. News 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 small and transitory increase (decrease) in local returns. By contrast, changes in global news sentiment have a larger impact on equity returns around the world, which does not reverse in the short run. We also find evidence that news sentiment affects mainly foreign - rather than local - investors: although local news optimism attracts international equity flows for a few days, global news optimism generates a permanent foreign equity inflow. Our results confirm the value of media content in capturing investor sentiment.

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