Mechanically Extracted Company Signals and their Impact on Stock and Credit Markets
| Type of Publication: | Working Paper/Technical Report |
| URI (citable link): | http://nbn-resolving.de/urn:nbn:de:bsz:352-0-270905 |
| Author: | Graf, Ferdinand |
| Year of publication: | 2011 |
| Series: | Working Paper Series / Department of Economics ; 2011-18 |
| Summary: |
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.
|
| JEL Classification: | G12; G14 |
| Subject (DDC): | 330 Economics |
| Keywords: | Content Analysis, Company News, Market Microstructure |
| Link to License: | In Copyright |
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GRAF, Ferdinand, 2011. Mechanically Extracted Company Signals and their Impact on Stock and Credit Markets
@techreport{Graf2011Mecha-29744, series={Working Paper Series / Department of Economics}, title={Mechanically Extracted Company Signals and their Impact on Stock and Credit Markets}, year={2011}, number={2011-18}, author={Graf, Ferdinand} }
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