Economics blogs sentiment and asset prices†. (11th October 2017)

• Record Type: Journal Article
• Authors: Farina, Vincenzo; Parisi, Antonio; Pomante, Ugo
• Is Part Of: International journal of finance & economics. Volume 22:Number 4(2017:Oct.)
• Page Start: 341
• Page End: 351
• Publication Date: 2017-10-11
• Subjects: economics blogs -- investor sentiment -- NLP text analysis -- stock market -- trading strategies; International finance -- Periodicals; Economics -- Periodicals; 332
• DOI: 10.1002/ijfe.1591
• Languages: English
• ISSNs: 1076-9307

Abstract

Abstract: One of the most important research streams in finance is to understand the determinants of stock market dynamics. Using a large amount of linguistic data regarding 960, 808 posts during a 5‐year time period (from March 1, 2008, to August 31, 2013), we develop an economics blogs pessimism indicator (considered as a proxy for either investor sentiment or risk aversion), and we show its validity to build performing trading strategies.