Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/229107 
Erscheinungsjahr: 
2020
Schriftenreihe/Nr.: 
ECB Working Paper No. 2493
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
A growing body of literature analyses the impact of news on companies' equity prices. We add to this literature by showing that the transmission channel of news to prices differs across sectors. First, we disentangle sectoral equity prices into components of expected future earnings and equity risk premia. Then, we evaluate how these react to general and sector specific sentiment shocks constructed from Reuters news articles. We find that price changes for especially the financial sector are mainly driven by changes in equity risk premia, while changes in earnings expectations play a comparatively larger role for other sectors.
Schlagwörter: 
Text analysis
news sentiment
stock returns
equity risk premia
Dividend Discount Models
JEL: 
G10
G12
G14
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-92-899-4410-6
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
740.06 kB





Publikationen in EconStor sind urheberrechtlich geschützt.