Media tone is a priced risk factor in currency markets

IF 3.8 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance Pub Date : 2025-08-22 DOI:10.1016/j.jbankfin.2025.107542

Heikki Lehkonen , Kari Heimonen , Kuntara Pukthuanthong

引用次数: 0

Abstract

Media tone constructed from 7000,000 articles from 2000 global media and 800 social media sites is found to be a genuine risk factor that cross-sectionally prices currencies. It can predict excess US dollar returns for up to six months and surpasses the no-change benchmark in predicting returns out of sample. Its predicted value contains information beyond those predicted by currency factors and business cycles. Evidence corroborates with the theory that Media tone increases investment returns, has pronounced predictive power for the currencies associated with hard-to-value characteristics, and that its predictive power increases with the number of news sources. Trading of rational investors, including banks, is associated with Media tone.

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媒体语气是外汇市场的一个定价风险因素

从2000家全球媒体和800家社交媒体网站的70万篇文章中构建的媒体基调被发现是一个真正的风险因素，可以对货币进行横截面定价。它可以预测长达6个月的超额美元回报，并且在预测样本外回报方面超过无变化基准。其预测值包含了超出货币因素和商业周期预测的信息。证据证实了媒体基调增加投资回报的理论，对与难以估值特征相关的货币具有明显的预测能力，并且其预测能力随着新闻来源的数量而增加。包括银行在内的理性投资者的交易与媒体的语气有关。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Banking & Finance Multiple-

CiteScore

6.40

自引率

5.40%

发文量

262

期刊介绍： The Journal of Banking and Finance (JBF) publishes theoretical and empirical research papers spanning all the major research fields in finance and banking. The aim of the Journal of Banking and Finance is to provide an outlet for the increasing flow of scholarly research concerning financial institutions and the money and capital markets within which they function. The Journal''s emphasis is on theoretical developments and their implementation, empirical, applied, and policy-oriented research in banking and other domestic and international financial institutions and markets. The Journal''s purpose is to improve communications between, and within, the academic and other research communities and policymakers and operational decision makers at financial institutions - private and public, national and international, and their regulators. The Journal is one of the largest Finance journals, with approximately 1500 new submissions per year, mainly in the following areas: Asset Management; Asset Pricing; Banking (Efficiency, Regulation, Risk Management, Solvency); Behavioural Finance; Capital Structure; Corporate Finance; Corporate Governance; Derivative Pricing and Hedging; Distribution Forecasting with Financial Applications; Entrepreneurial Finance; Empirical Finance; Financial Economics; Financial Markets (Alternative, Bonds, Currency, Commodity, Derivatives, Equity, Energy, Real Estate); FinTech; Fund Management; General Equilibrium Models; High-Frequency Trading; Intermediation; International Finance; Hedge Funds; Investments; Liquidity; Market Efficiency; Market Microstructure; Mergers and Acquisitions; Networks; Performance Analysis; Political Risk; Portfolio Optimization; Regulation of Financial Markets and Institutions; Risk Management and Analysis; Systemic Risk; Term Structure Models; Venture Capital.