Smales, Lee A. - In: International Review of Financial Analysis 37 (2015) C, pp. 40-50
Utilizing firm-specific news sentiment data provided by Thomson Reuters News Analytics, I construct aggregate measures … to examine the relationship between news sentiment and stock market returns over the period 2004–2010. I find a highly … significant relationship between aggregated measures of news sentiment and stock returns that fluctuates over time and by industry …