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.
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收藏
页数：9
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