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Contribution Details
| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | Macro versus stock-specific news sentiment and tail events |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 77 |
| Date | 2022 |
| Abstract Text | We investigate a stock-specific news sentiment change relative to the overall US market based on 2.7 million Reuters news articles. Focusing on negative firm-specific tail events of the S&P 100 constituents between 2003 and 2021, we discover a relation between the relative stock-specific news sentiment change and the post-event recovery of one month. A positive news sentiment measure at the negative tail event indicates no fundamental issue within the firm and is associated with a higher performance after the stock jump compared to firms with a negative news sentiment measure. We are able to construct a profitable reversal trading strategy for the in-sample but not for the out-of-sample period. This might be caused by a regime change of the existing market dynamics. However, we manage to improve the out-of-sample strategy with a more reactive news sentiment measure. |
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