Investing in US 10-Year Yields with News Sentiment
Posted: 14 Aug 2017 Last revised: 21 May 2019
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: 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
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.