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Media Sentiment and UK Stock Returns

Author

Listed:
  • Nicky J. Ferguson

    (Durham Business School)

  • Jie Michael Guo

    (Durham Business School)

  • Nicky Herbert Y.T. Lam

    (Renmin University of China)

  • Dennis Philip

    (Durham Business School)

Abstract

This paper is the first to determine the effect that media sentiment has on stock returns for UK companies and tests whether there is any return predictability contained in the UK media sentiment data. We show that measures of positive and negative media sentiment have significant relationships with stock returns on the day news articles are published and that there is return predictability inherent in negative media sentiment the day following publication of media articles. We construct a news- based trading strategy to demonstrate the application of these results that earns significant positive abnormal returns.

Suggested Citation

  • Nicky J. Ferguson & Jie Michael Guo & Nicky Herbert Y.T. Lam & Dennis Philip, 2011. "Media Sentiment and UK Stock Returns," Department of Economics Working Papers 2011_06, Durham University, Department of Economics.
    • Handle: RePEc:dur:durham:2011_06
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    File URL: http://dro.dur.ac.uk/10346
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    References listed on IDEAS

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    8. Alexander Dyck & Natalya Volchkova & Luigi Zingales, 2008. "The Corporate Governance Role of the Media: Evidence from Russia," Journal of Finance, American Finance Association, vol. 63(3), pages 1093-1135, June.
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    Cited by:

    1. Siganos, Antonios, 2013. "Google attention and target price run ups," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 219-226.
    2. Juanjuan Wang & Shujie Zhou & Wentong Liu & Lin Jiang, 2024. "An ensemble model for stock index prediction based on media attention and emotional causal inference," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(6), pages 1998-2020, September.

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    Keywords

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    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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