The Sum of All FEARS Investor Sentiment and Asset Prices

Da, Zhi; Engelberg, Joseph; Gao, Pengjie

doi:10.1093/rfs/hhu072

Cited by 1,067 publications

(917 citation statements)

References 47 publications

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“…Internet news sources and social media provide a growing universe of textual information, including internet searches (Da, Engelberg, and Gao 2015), Facebook networks (Simon and Heimer 2015), and Twitter broadcasts (Bollen, Mao, and Zeng 2011). Analysis of these sources typically requires complex analytic tools, which potentially provide the power to predict returns but also make the analysis inherently opaque.…”

Section: Textual Processingmentioning

confidence: 99%

News vs. Sentiment: Predicting Stock Returns from News Stories

Heston

Sinha

2017

Financial Analysts Journal

162

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Section: Textual Processingmentioning

confidence: 99%

News vs. Sentiment: Predicting Stock Returns from News Stories

Heston

Sinha

2017

Financial Analysts Journal

162

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“…To capture market-wide crisis sentiment, we employ the General CSI of Weiß et al (2013) and the FEARS index of Da et al (2015). To capture individual crisis sentiment, we use the CSI proposed by Weiß et al (2013).…”

Section: Measures Of Crisis Sentimentmentioning

confidence: 99%

“…This index combines the search volume of the crisis-related search terms of the General Crisis Sentiment Index with the search volume of the individual banks' ticker symbols. As a third measure, we employ the Financial and Economic Attitudes Revealed by Search (FEARS) index developed by Da et al (2015) which has been proven to predict aggregate market returns. It is computed using thirty economic search terms and hence, it is an additional measure of market-wide crisis sentiment.…”

Section: Introductionmentioning

confidence: 99%

Explaining bank stock performance with crisis sentiment

Irresberger

Mühlnickel

Weiß

2015

Journal of Banking & Finance

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a b s t r a c tUsing search volume data on crisis-related queries from Google Trends, we estimate three different measures of market-level and individual crisis sentiment. We find that the stock performance of international banks during the period Q1 2004 to Q4 2012 was significantly driven by investors' irrational market-wide crisis sentiment. Our empirical analysis shows that irrational market-wide crisis sentiment leads investors to devalue bank stocks irrespective of idiosyncratic or macroeconomic fundamentals. Comparing this finding with results for a sample of non-financial companies, we find evidence in support of the notion that the effect of crisis sentiment on stock returns is strongest in the absence of implicit bailout guarantees.

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“…Another solution is the employment of search phrases that convey the sentiment like "bankruptcy" as in study Da et al (2015). Therefore, one can argue that increasing search volume for bankruptcy is in line with growing negative sentiment in society.…”

Section: Methodsological Challengesmentioning

confidence: 99%