Using a score provided by Thomson Reuters to measure the tone of news articles, I construct a weekly measure of qualitative information. The measure predicts future returns over the next 13 weeks and mitigates short-term reversal in the weekly momentum strategy. A portfolio that takes a long...

This paper uses a dataset of more than 900,000 news stories to test whether news predicts stock returns. We measure sentiment with the Harvard psychosocial dictionary used by Tetlock, Saar-Tsechansky, and Macskassy (2008), the financial dictionary of Loughran and McDonald (2011), and a...

This paper uses a dataset of more than 900,000 news stories to test whether news can predict stock returns. We measure sentiment with a proprietary Thomson-Reuters neural network. We find that daily news predicts stock returns for only 1 to 2 days, confirming previous research. Weekly news,...