RT Journal Article SR Electronic T1 News Beta: Factoring Sentiment Risk into Quant Models JF The Journal of Investing FD Institutional Investor Journals SP 88 OP 104 DO 10.3905/joi.2016.25.3.088 VO 25 IS 3 A1 Peter Hafez A1 Junqiang Xie YR 2016 UL https://pm-research.com/content/25/3/88.abstract AB The stock market is affected by sentiment. The question, however, is how to quantify this effect on asset prices. By using a news-based proxy for sentiment, this article intends to address the issue empirically by exploring the pricing implications of a stock’s exposure to market sentiment. The authors explore a concept termed news beta—the sensitivity of stock returns to changes in market sentiment as reported by the media. After controlling for traditional factors, news beta is found to have strong return predictability over 6- and 12-month horizons. The evidence from this research suggests that news sentiment data are still an untapped source of alpha in financial markets.TOPICS: Analysis of individual factors/risk premia, portfolio construction, portfolio theory