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Economics blogs sentiment and asset prices

Author

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  • Vincenzo Farina
  • Antonio Parisi
  • Ugo Pomante

Abstract

One of the most important research streams in finance is to understand the determinants of stock market dynamics. Using a large amount of linguistic data regarding 960,808 posts during a 5†year time period (from March 1, 2008, to August 31, 2013), we develop an economics blogs pessimism indicator (considered as a proxy for either investor sentiment or risk aversion), and we show its validity to build performing trading strategies.

Suggested Citation

  • Vincenzo Farina & Antonio Parisi & Ugo Pomante, 2017. "Economics blogs sentiment and asset prices," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 22(4), pages 341-351, October.
    • Handle: RePEc:wly:ijfiec:v:22:y:2017:i:4:p:341-351
    DOI: 10.1002/ijfe.1591
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    Cited by:

    1. Marco Caiffa & Vincenzo Farina & Lucrezia Fattobene, 2020. "All that glitters is not gold: CEOs' celebrity beyond media content," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 25(3), pages 444-460, July.
    2. Zaremba, Adam & Szyszka, Adam & Karathanasopoulos, Andreas & Mikutowski, Mateusz, 2021. "Herding for profits: Market breadth and the cross-section of global equity returns," Economic Modelling, Elsevier, vol. 97(C), pages 348-364.
    3. Zaremba, Adam & Szyszka, Adam & Long, Huaigang & Zawadka, Dariusz, 2020. "Business sentiment and the cross-section of global equity returns," Pacific-Basin Finance Journal, Elsevier, vol. 61(C).

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