TY  - UNPD
A1  - Kräussl, Roman
A1  - Mirgorodskaya, Elizaveta
T1  - News media sentiment and investor behavior
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 492
N2  - This paper investigates the impact of news media sentiment on financial market returns and volatility in the long-term. We hypothesize that the way the media formulate and present news to the public produces different perceptions and, thus, incurs different investor behavior. To analyze such framing effects we distinguish between optimistic and pessimistic news frames. We construct a monthly media sentiment indicator by taking the ratio of the number of newspaper articles that contain predetermined negative words to the number of newspaper articles that contain predetermined positive words in the headline and/or the lead paragraph. Our results indicate that pessimistic news media sentiment is positively related to global market volatility and negatively related to global market returns 12 to 24 months in advance. We show that our media sentiment indicator reflects very well the financial market crises and pricing bubbles over the past 20 years.
T3  - CFS working paper series - 492 
KW  - Investor behavior
KW  - News media sentiment
KW  - Financial market
KW  - Pricing bubbles
KW  - Framing effects
Y1  - 2014
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/35580
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-355800
UR  - https://www.ifk-cfs.de/fileadmin/downloads/publications/wp/2014/CFS_WP_492.pdf
IS  - April 2014
PB  - Center for Financial Studies
CY  - Frankfurt, M.
ER  -