ABSTRACT
Media reports can have both instantaneous and delayed impacts on stock prices. Using the aggregated financial news and social media-based sentiment scores from the Refinitiv MarketPsych Analytics dataset on Russell 3000 index constituents from 2006 to 2020, a strong sentiment-related momentum, driven by investor under-reaction is identified. The characteristics of sentiment momentum in both bull and bear markets and across global regions are established; consistent with price-momentum, stocks rebounding from a bear market experience a reversal in their sentiment momentum. Time aggregations from one day to one year are characterized by this effect. Sentiment momentum is present across global regions. Controls for price momentum, value and other fundamental models demonstrate that sentiment momentum is highly correlated with price momentum after the first month. Granger causality analysis finds that sentiment momentum is causal of price momentum.
