Pacific-Basin Finance Journal Volume 42, April 2017, Pages 24–45

金融新闻是否预测了股票收益率？来自穆斯林和非穆斯林股票市场的新证据

作者：Paresh Kumar Narayan (Deakin University, Australia), Deepa Bannigidadmath (Deakin University, Australia)

摘要：本文扩展了Garcia (2013)构建的时间序列金融新闻数据集，并用此检验了在穆斯林股票市场，金融新闻在预测股票收益率时是否显著地不同于非穆斯林股票市场（传统市场）。我们发现事实确实如此。第一，正面和负面的文字新闻基本预测了穆斯林和传统市场股票收益，并且正面的文字对两个股票市场收益有更大的影响。第二，来自金融新闻的股票冲击仅仅对部分股票有反转作用。第三，对于一个均值-方差型的投资者，投资穆斯林市场的股票要比投资相应的传统股票盈利更多。第四，我们发现即便加入一些时间序列的风险，即市场风险、规模风险和动量风险，利润仍然是稳定的。

Does Financial News Predict Stock Returns? New Evidence from Islamic and Non-Islamic Stocks

Paresh Kumar Narayan (Deakin University, Australia), Deepa Bannigidadmath (Deakin University, Australia)

ABSTRACT

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.

原文链接：http://www.sciencedirect.com/science/article/pii/S0927538X15300317

翻译：阙江静