News Sentiment Indices for Sectors and Industries

We present the sector-based news sentiment indices, which track,for a given industry or sector, the current media sentiment about thissector. The sentiment index for a particular sector has a natural rela-tionship to the... [ view full abstract ]

We present the sector-based news sentiment indices, which track,

for a given industry or sector, the current media sentiment about this

sector. The sentiment index for a particular sector has a natural rela-

tionship to the basket of stocks of publicly traded companies operating

in this sector or the corresponding sector's ETF. We empirically inves-

tigate this relationship for 11 sectors and show that this relationship is

particularly signi cant at times of market downturns. We demonstrate

the added value of such sentiment indices in sector-rotation investment

strategies.