Four-Fold News Sentiment and Stock Returns
整合四家数据源构建公司层面的月度新闻情绪得分，发现正面情绪股票预期收益更高，且该效应在投资者关注度低或套利限制高的股票中更强，正面情绪还预示未来盈利改善和风险降低。
In this article, the authors construct a firm-level monthly news sentiment score by aggregating data from four independent data providers. They find that stocks with more positive news sentiment have higher expected returns. This result holds across each individual dataset and is strongest for the aggregate measure. The relationship is more pronounced for stocks with lower investor attention or higher arbitrage constraints. Positive sentiment also signals better future earnings and lower risk. These results suggest that the predictability of news sentiment for future stock returns is most likely because of the slow diffusion of fundamental information embedded in the news.