Sentiment during Recessions

• 成果类型: Article
• 署名作者: Garcia, Diego
• 署名单位: University of North Carolina; University of North Carolina Chapel Hill
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12027
• 发表日期: 2013
• 页码: 1267-1300
• 关键词: rational-expectations equilibrium; Investor sentiment; asset prices; stock-prices; media; news; happy; mood; JUDGMENT; times

摘要

This paper studies the effect of sentiment on asset prices during the 20th century (1905 to 2005). As a proxy for sentiment, we use the fraction of positive and negative words in two columns of financial news from the New York Times. The main contribution of the paper is to show that, controlling for other well-known time-series patterns, the predictability of stock returns using news' content is concentrated in recessions. A one standard deviation shock to our news measure during recessions predicts a change in the conditional average return on the DJIA of 12 basis points over one day.