Dispersion in news sentiment and corporate bond returns

被引：4
|
作者：
Isakin, Maksim [1 ]
Pu, Xiaoling [2 ]
机构：
[1] Cleveland State Univ, Cleveland, OH 44115 USA
[2] Kent State Univ, Kent, OH USA
来源：
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS | 2023年 / 89卷
关键词：
Corporate bonds; Credit risk; News sentiment; INVESTOR SENTIMENT; CROSS-SECTION; MEDIA COVERAGE; RISK; MARKET; INFORMATION; VOLATILITY; MOMENTUM; COMMON; PRESS;
D O I：
10.1016/j.irfa.2023.102761
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We construct a news sentiment index at the firm level by using textual analysis of news articles and find that dispersion in news sentiment is a significant predictor of corporate bond returns. Bonds of firms with high dispersion in news sentiment have a highly significant average return of 7.38 percent. A portfolio that longs bonds with high dispersion in news sentiments and shorts bonds with low dispersion earns an average biweekly return of 8.53 percent. This finding is in line with an argument that dispersion in news sentiment is a proxy for future cash flow uncertainty.
引用
收藏
页数：9
相关论文
共 50 条
  • [1] Climate Change News Risk and Corporate Bond Returns
    Huynh, Thanh D.
    Xia, Ying
    JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 2021, 56 (06) : 1985 - 2009
  • [2] Are economically significant bond returns explained by corporate news? An examination of the German corporate bond market
    Janner S.
    Schmidt D.
    Financial Markets and Portfolio Management, 2015, 29 (3) : 271 - 298
  • [3] Climate change news risk and corporate bond returns in China
    Liu, Hao
    Lin, Chuyin
    FINANCE RESEARCH LETTERS, 2023, 58
  • [4] News and the cross-section of expected corporate bond returns
    Abhyankar, Abhay
    Gonzalez, Angelica
    JOURNAL OF BANKING & FINANCE, 2009, 33 (06) : 996 - 1004
  • [5] Modeling Corporate Bond Returns
    Kelly, Bryan
    Palhares, Diogo
    Pruitt, Seth
    JOURNAL OF FINANCE, 2023, 78 (04): : 1967 - 2008
  • [6] Momentum in Corporate Bond Returns
    Jostova, Gergana
    Nikolova, Stanislava
    Philipov, Alexander
    Stahel, Christof W.
    REVIEW OF FINANCIAL STUDIES, 2013, 26 (07): : 1649 - 1693
  • [7] Corporate Bond Returns and Volatility
    Cai, Nianyun
    Jiang, Xiaoquan
    FINANCIAL REVIEW, 2008, 43 (01) : 1 - 26
  • [8] Are corporate bond market returns predictable?
    Hong, Yongmiao
    Lin, Hai
    Wu, Chunchi
    JOURNAL OF BANKING & FINANCE, 2012, 36 (08) : 2216 - 2232
  • [9] Monetary Policy and Corporate Bond Returns
    Guo, Haifeng
    Kontonikas, Alexandros
    Maio, Paulo
    REVIEW OF ASSET PRICING STUDIES, 2020, 10 (03): : 441 - 489
  • [10] Issuer Quality and Corporate Bond Returns
    Greenwood, Robin
    Hanson, Samuel G.
    REVIEW OF FINANCIAL STUDIES, 2013, 26 (06): : 1483 - 1525
12345