Federal ID: 91-6001537
ISSN: 0022-1090 (Print) | 1756-6916 (Online)
Media Sentiment and Currency Reversals
Ilias Filippou, Mark P. Taylor, and Zigan Wang ♦ Analyzing 48 foreign exchange (FX) rates and 1.2 million FX-related news articles over a 35 year period, using digital textual analysis, we find that a currency reversal investment strategy that buys (sells) currencies…