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Contribution Details

Type Journal Article
Scope Discipline-based scholarship
Title News Sentiment: A New Yield Curve Factor
Organization Unit
Authors
  • Nina Gotthelf
  • Matthias W Uhl
Item Subtype Original Work
Refereed Yes
Status Published in final form
Language
  • English
Journal Title Journal of Behavioral Finance
Publisher Taylor & Francis
Geographical Reach international
ISSN 1542-7560
Volume 20
Number 1
Page Range 21 - 31
Date 2019
Abstract Text The authors show that sentiments from newspaper articles can explain and predict movements in the term structure of U.S. government bonds. This effect is stronger at the short end of the curve, coinciding with greater volatility and investors' need to continually reassess the Fed's reaction function. Facing such uncertainty, market participants rely on news and sentiment as a central element in their decision-making process. Considering this dependence, the authors propose a new yield curve factor—news sentiment—that is distinct from the 3 established yield curve factors (level, slope, and curvature) as well as from fundamental macroeconomic variables.
Related URLs
Digital Object Identifier 10.1080/15427560.2018.1432620
Other Identification Number merlin-id:16277
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