We examine the statistical power of fundamental and behavioural factors with regards to stock returns of the Dow Jones Industrials Index. With a novel sentiment dataset from over 3.6 million Reuters news articles, we find significant correlations between Reuters sentiment and stock returns. We...

We perform principal components analyses of the University of Michigan Index of Consumer Sentiment and TV sentiment in order to gain information on their structure and information content. By introducing the new sentiment variable TV sentiment, gathered from sentiment from statements from over...