Sentiment text index: empirical analysis the impact on systematic risk
The purpose of the study was to estimate textual sentiment index of news and investigate its behavior on systematic risk. For this, it was investigated if the systematic risk of stock price Vale (VALE5) was influenced by the tone and volume of the news related the accident caused by Samarco, in peri...
| Main Authors: | , |
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| Format: | Article |
| Language: | Portuguese |
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Universidade Federal de Santa Catarina
2019-12-01
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| Series: | Revista Contemporânea de Contabilidade |
| Subjects: | |
| Online Access: | https://periodicos.ufsc.br/index.php/contabilidade/article/view/56558 |
| Summary: | The purpose of the study was to estimate textual sentiment index of news and investigate its behavior on systematic risk. For this, it was investigated if the systematic risk of stock price Vale (VALE5) was influenced by the tone and volume of the news related the accident caused by Samarco, in periods when investors were more vulnerable to risk, based on premise that news contributes to updating investors beliefs about their future expectations, especially in periods of more uncertainty. The relationships between systematic risk, news volume and tone news were obtained through quantile regression. The empirical evidence found between the 5th and 9th deciles leads to realization that volume and tone of the news influences the beta of Vale when there is more exposure to risk, suggesting evidence that systematic risk is related to the news releases by the media in periods of increased uncertainty about the future cash flows of assets. |
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| ISSN: | 1807-1821 2175-8069 |