Template-type: ReDIF-Paper 1.0
Author-Name: David E. Allen
Author-Email: d.allen@ecu.edu.au
Author-Person: pal66
Author-Workplace-Name: School of Accounting, Finance and Economics Edith Cowan University, Australia.
Author-Name: Michael McAleer
Author-Person: pmc90 
Author-Workplace-Name: Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam and Tinbergen Institute,
	The Netherlands, Department of Quantitative Economics, Complutense University of Madrid, and Institute of
	Economic Research, Kyoto University. 
Author-Name: Abhay K. Singh
Author-Workplace-Name: School of Accounting, Finance and Economics, Edith Cowan University, Australia
Title: Daily Market News Sentiment and Stock Prices 
Abstract: In recent years there has been a tremendous growth in the influx of news related to traded assets in international 
	financial markets. This financial news is now available via print media but also through real-time online sources 
	such as internet news and social media sources. The increase in the availability of financial news and investor’s ease 
	of access to it has a potentially significant impact on market price formation as these news items are swiftly transformed 
	into investors sentiment which in turn drives prices. Various commercial agencies have started developing their own financial 
	news data sets which are used by investors and traders to support their algorithmic trading strategies. Thomson Reuters 
	News Analytics (TRNA)1 is one such data set. In this study we use the TRNA data set to construct a series of daily sentiment 
	scores for Dow Jones Industrial Average (DJIA) stock index component companies. 
	We use these daily DJIA market sentiment scores to study the influence of financial news sentiment scores on the stock prices of 
	these companies using a multi-factor model. We use an augmented Fama French Three Factor Model to evaluate the additional effects 
	of financial news sentiment on stock prices in the context of this model. Our results suggest that even when market factors are 
	taken into account, sentiment scores have a significant effect on Dow Jones constituent company returns and that lagged daily 
	sentiment scores are often significant, suggesting that information compounded in these scores is not immediately reflected in 
	security prices and related return series.
Classification-JEL: G12, G140, C31.
Keywords: Sentiment Analysis; Financial News; Factor Models; Asset Pricing.

Note: Preprint submitted to Journal of Financial Markets
Length: 27 pages 
Creation-Date: 2015-07  
Number: 2015-11 
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1511.txt
File-URL: https://eprints.ucm.es/id/eprint/33044/1/1511.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1511