Do Newspaper Articles Predict Aggregate Stock Returns?

Item Type Journal paper
Abstract

We analyze whether newspaper content can predict aggregate future stock returns. Our study is based on articles published in the Handelsblatt, a leading German Financial newspaper, from July 1989 to March 2011. We summarize newspaper content in a systematic way by constructing word-count indices for a large number of words. Wordcount indices are instantly available and therefore potentially valuable
Financial indicators. Our main Finding is that the predictive power of newspaper content has increased over time, particularly since 2000. We Find that a cluster analysis approach increases the predictive power of newspaper articles substantially. To obtain optimal predictive power, we need at least seven clusters. Our analysis shows that newspaper content is a valuable predictor of future DAX returns in and out of sample.

Authors Ammann, Manuel; Frey, Roman & Verhofen, Michael
Journal or Publication Title Journal of Behavioral Finance
Language English
Keywords Word Count, Text Mining, Expected Returns, Tactical Asset Allocation
Subjects business studies
HSG Classification contribution to scientific community
Refereed Yes
Date September 2014
Publisher Routledge/Taylor&Francis
Place of Publication New York
Volume 15
Number 3
Page Range 195-213
Number of Pages 19
ISSN 1542-7560
ISSN-Digital 1542-7579
Depositing User Prof. Dr. Manuel Ammann
Date Deposited 30 Aug 2012 11:26
Last Modified 23 Aug 2016 11:14
URI: https://www.alexandria.unisg.ch/publications/216122

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Citation

Ammann, Manuel; Frey, Roman & Verhofen, Michael (2014) Do Newspaper Articles Predict Aggregate Stock Returns? Journal of Behavioral Finance, 15 (3). 195-213. ISSN 1542-7560

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https://www.alexandria.unisg.ch/id/eprint/216122
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