News impacts stock prices through more than transient sentiment, paper finds
Working paper uses textual processing to examine more than 900,000 news stories
News affects stock prices, but not solely due to transient sentiment or liquidity, a working paper published by the Federal Reserve Board has found.
In News versus Sentiment: Predicting Stock Returns from News Stories, Steven Heston and Nitish Sinha explore how useful textual processing is for predicting returns. They use a dataset of more than 900,000 news stories.
The authors finds there is predictability, but it lasts only a few days when news is measured over a day. But when news is
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