Investing in US 10-Year Yields with News Sentiment

Posted: 14 Aug 2017 Last revised: 21 May 2019

See all articles by Nina Gotthelf

Nina Gotthelf

University of Zurich - Department Finance

Matthias Uhl

University of Zurich - Department Finance

Date Written: March 2017

Abstract

The tonality of news reporting has been shown to have explanatory and predictive power for equity prices. Using a novel approach and data set, we demonstrate that the news sentiment effect also holds for US government bond duration. We construct a successful trading strategy for the US 10-year government bond yield based on news sentiment.

Keywords: Behavioral Finance, News Sentiment, Duration, Trading Strategies

JEL Classification: G02, G11, G12, G17

Suggested Citation

Gotthelf, Nina and Uhl, Matthias, Investing in US 10-Year Yields with News Sentiment (March 2017). Journal of Investing, Forthcoming, Available at SSRN: https://ssrn.com/abstract=3017191

Nina Gotthelf

University of Zurich - Department Finance ( email )

Schönberggasse 1
Zürich, 8001
Switzerland

Matthias Uhl (Contact Author)

University of Zurich - Department Finance ( email )

Schönberggasse 1
Zürich, 8001
Switzerland

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