Mechanically Extracted Company Signals and their Impact on Stock and Credit Markets
I analyze company news from Reuters with the 'General Inquirer' and relate measures of positive sentiment, negative sentiment and disagreement to abnormal stock returns, stock and option trading volume, the volatility spread and the CDS spread. I test hypotheses derived from market microstructure models. Consistent with these models, sentiment and disagreement are strongly related to trading volume. Moreover, sentiment and disagreement might be used to predict stock returns, trading volume and volatility. Trading strategies based on positive and negative sentiment are profitable if the transaction costs are moderate, indicating that stock markets are not fully efficient.
|Date of creation:||31 May 2011|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://www.wiwi.uni-konstanz.de/fb
More information through EDIRC
|Order Information:||Web: http://www.wiwi.uni-konstanz.de/fb|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hull, John & Predescu, Mirela & White, Alan, 2004. "The relationship between credit default swap spreads, bond yields, and credit rating announcements," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2789-2811, November.
- Tarun Chordia & Asani Sarkar & Avanidhar Subrahmanyam, 2003. "An empirical analysis of stock and bond market liquidity," Staff Reports 164, Federal Reserve Bank of New York.
- Martijn Cremers & Joost Driessen & Pascal Maenhout & David Weinbaum, 2004.
"Individual Stock-Option Prices and Credit Spreads,"
Yale School of Management Working Papers
amz2391, Yale School of Management, revised 01 Jan 2005.
- Nikolaus Hautsch & Dieter Hess, 2002. "The processing of non-anticipated information in financial markets: Analyzing the impact of surprises in the employment report," CoFE Discussion Paper 02-06, Center of Finance and Econometrics, University of Konstanz.
- Werner Antweiler & Murray Z. Frank, 2004. "Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards," Journal of Finance, American Finance Association, vol. 59(3), pages 1259-1294, 06.
- Lily Fang & Joel Peress, 2009. "Media Coverage and the Cross-section of Stock Returns," Journal of Finance, American Finance Association, vol. 64(5), pages 2023-2052, October.
- Blume, Lawrence & Easley, David & O'Hara, Maureen, 1994. " Market Statistics and Technical Analysis: The Role of Volume," Journal of Finance, American Finance Association, vol. 49(1), pages 153-81, March.
When requesting a correction, please mention this item's handle: RePEc:knz:dpteco:1118. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Gundula Hadjiani)
If references are entirely missing, you can add them using this form.