Paper Info
Title
Do Investors Read Too Much into News? How News Sentiment Causes Price Formation
Abstract
It is a well-known fact that financial markets react to information. Even though this relationship seems simple, finding evidence is not easy since information is embedded in textual news releases. Only recent have researchers started to look at the content of news. Interestingly, previous work avoids the inference of a causal relationship between news messages and abnormal returns. In this paper, we concentrate on the oil market from which we identify a (strong) instrument, namely, the number of terroristic attacks, and can reasonably account for the endogeneity problem associated with news releases. In addition, we study how news releases affect stock prices temporally. Thus, we find that a change in news sentiment entails a large change in oil prices.
Year
DOI
Venue
2015
10.1109/HICSS.2015.571
System Sciences
Keywords
Field
DocType
financial data processing,petroleum industry,share prices,stock markets,text analysis,endogeneity problem,financial markets,news sentiment,oil market,price formation,stock prices,terroristic attacks,textual news releases,terrorism,sentiment analysis,correlation,vectors,measurement
Endogeneity,Advertising,Sentiment analysis,Inference,Computer science,Terrorism,News analytics,Financial market
Conference
ISSN
Citations 
PageRank 
1530-1605
3
0.40
References 
Authors
7
3
Name
Order
Citations
PageRank
Stefan Feuerriegel121931.91
Sebastian Felix Heitzmann230.40
Dirk Neumann329437.29