{"title":"Do optimistic portfolios outperform pessimistic portfolios: Evidence from textual sentiment","authors":"Yudhvir Seetharam, Kingstone Nyakurukwa","doi":"10.1016/j.econlet.2024.111900","DOIUrl":null,"url":null,"abstract":"<div><p>We examine whether textual sentiment (from news and social media) explains the cross-section of stock returns. Sentiment scores are used to sort stocks into tercile portfolios daily. Various asset pricing models, including CAPM and Fama-French models, are used to assess the sentiment's impact on returns after accounting for traditional risk factors. Results show that portfolios with higher (optimistic) sentiment consistently yield better average returns across the two sentiment measures and the different asset pricing models.</p></div>","PeriodicalId":11468,"journal":{"name":"Economics Letters","volume":"242 ","pages":"Article 111900"},"PeriodicalIF":2.1000,"publicationDate":"2024-08-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0165176524003847/pdfft?md5=95987ff89ee28c64bbbb6064d03adda0&pid=1-s2.0-S0165176524003847-main.pdf","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Economics Letters","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0165176524003847","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 0
Abstract
We examine whether textual sentiment (from news and social media) explains the cross-section of stock returns. Sentiment scores are used to sort stocks into tercile portfolios daily. Various asset pricing models, including CAPM and Fama-French models, are used to assess the sentiment's impact on returns after accounting for traditional risk factors. Results show that portfolios with higher (optimistic) sentiment consistently yield better average returns across the two sentiment measures and the different asset pricing models.
期刊介绍:
Many economists today are concerned by the proliferation of journals and the concomitant labyrinth of research to be conquered in order to reach the specific information they require. To combat this tendency, Economics Letters has been conceived and designed outside the realm of the traditional economics journal. As a Letters Journal, it consists of concise communications (letters) that provide a means of rapid and efficient dissemination of new results, models and methods in all fields of economic research.