The Impact of Textual Sentiment on Sovereign Bond Yield Spreads: Evidence from the Eurozone Crisis

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Title: The Impact of Textual Sentiment on Sovereign Bond Yield Spreads: Evidence from the Eurozone Crisis
Authors: Liu, Sha
Permanent link: http://hdl.handle.net/10197/10219
Date: Sep-2014
Online since: 2019-04-30T11:02:44Z
Abstract: This study examines the relation between textual sentiment (media pessimism), the concentration/volume of news, and sovereign bond yield spreads, specifically in Greece, Ireland, Italy, Portugal and Spain during the European sovereign debt crisis from 2009 to 2012. The findings suggest that higher media pessimism and greater concentration/volume of news collectively communicate additional value-relevant information that has not been quantified by traditional determinants of yield spreads. If higher media pessimism is coupled with greater concentration/volume of news and other factors remain unchanged, yield spreads would move upwards, causing prices to fall. Media pessimism and the number of news stories respectively and collectively help predict the widening of yield spreads. Higher media pessimism level is strongly associated with more news stories being reported, suggesting that “no news is good news.”
Type of material: Journal Article
Publisher: Multinational Finance Society
Journal: Multinational Finance Journal
Volume: 18
Issue: 3/4
Start page: 215
End page: 248
Copyright (published version): 2014 Multinational Finance Society
Keywords: Textual sentimentMedia pessimismInformation supplySovereign bond yield spreadsEuropean sovereign debt crisis
Other versions: http://www.mfsociety.org/page.php?pageID=175
Language: en
Status of Item: Peer reviewed
Appears in Collections:Business Research Collection

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