Abstract

Relying on over 300 million news sentiment scores from a global news source covering a battery of different news topics and their sentiment, we construct a novel measure called top news sentiment based on rolling correlations with equity returns. We find an effect of top news sentiment on stock returns with robust timeframes. These findings add to the sentiment literature with the first dynamically created sentiment variable. We are able to construct profitable trading strategies based on top news sentiment. It therefore pays off for investors to be inattentive to most news topics and their sentiment.

中文翻译：

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何时值得忽视：关注热门新闻及其情绪

摘要

依靠来自全球新闻来源的 3 亿多条新闻情绪评分，涵盖一系列不同的新闻主题及其情绪，我们构建了一种基于与股票回报滚动相关性的新措施，称为热门新闻情绪。我们发现头条新闻情绪对股票回报的影响具有稳健的时间框架。这些发现将第一个动态创建的情感变量添加到情感文献中。我们能够根据头条新闻情绪构建有利可图的交易策略。因此，投资者对大多数新闻话题和他们的情绪漠不关心是值得的。