Does financial news predict stock returns? New evidence from Islamic and Non-Islamic stocks
Data(s) |
01/01/2015
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Resumo |
The paper extends the time-series financial news data set constructed by Garcia (2013) and uses it to examine whether financial news predicts returns of Islamic stocks differently compared to non-Islamic (conventional) stocks. We find that they do. First, while both positive and negative worded news predict most Islamic and conventional stock returns, positive words have a larger impact on both types of stock returns. Second, shock to returns from financial news reverses only in part for some stocks. Third, for a mean-variance investor, investing in Islamic stocks is relatively more profitable than investing in the corresponding conventional stocks. Fourth, we show that profits are robust to a range of time-series risk factors, namely, market risk, size-based risk, and momentum-induced risk. |
Identificador | |
Idioma(s) |
eng |
Publicador |
Elsevier |
Relação |
http://dro.deakin.edu.au/eserv/DU:30084848/narayan-doesfinancialnews-inpress-2015.pdf http://www.dx.doi.org/10.1016/j.pacfin.2015.12.009 |
Direitos |
2015, Elsevier |
Palavras-Chave | #Islamic stocks #Returns #Financial news #Predictability #Trading strategy #Profits |
Tipo |
Journal Article |