NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Damien Puy

International Monetary Fund
700 19th Street NW
Washington, DC 20431

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Institutional Affiliation: IMF

NBER Working Papers and Publications

December 2018Media Sentiment and International Asset Prices
with Samuel P. Fraiberger, Do Lee, Romain Rancière: w25353
We investigate the relationship between media sentiment and international equity prices using a new dataset of 4 million news articles published between 1991 and 2015. Three key results emerge. First, news sentiment robustly predicts (future) daily returns around the world. However, we find a sharp contrast between the effect of local news and that of global news: whereas local news optimism (pessimism) predicts a small and transitory increase (decrease) in local equity returns, global news sentiment has a larger impact on returns that does not reverse in the short run. Second, news sentiment affects local prices mainly through the investment decisions of foreign — rather than local — investors. Third, large variations in global news sentiment predominantly happen in the absence of new inf...
 
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