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Contribution Details
| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | News Sentiment as a Risk Factor in the G10 Currency Market |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 57 |
| Date | 2023 |
| Abstract Text | The potential of news sentiment as a risk factor in the G10 foreign exchange market was explored by utilizing two databases containing millions of news pieces over a 20-year period. Aggregate news sentiment indicators were created and the results showed that three variants were statistically significant in both univariate and multivariate regressions. Additionally, new indicator PC1 created using PCA combining both databases proved to be the most robust one, serving as a strong candidate for a common risk factor. These results highlight the importance of news sentiment as a fundamental risk source for the excess return of the carry strategy. |
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