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The Trump Sentiment: The Effect of News on the US Stock Market
Pinteková, Aneta ; Kukačka, Jiří (advisor) ; Horváth, Roman (referee)
This thesis examines how the American economy is affected by the market sentiment that arises from the news about actions and decisions of the American President Donald Trump. The news articles are obtained from Reuters for the period between the 1st of May and the 30th of November 2018, based on which a sentiment variable is created using natural language processing methods. Firstly, the impact of Trump sentiment on the returns on the S&P 500 Index is examined. The results show a positive and statistically significant impact of sentiment from the previous day on today's S&P 500 Index return. A statisti cally significant effect of the sentiment from a week ago is also found, however, this effect is negative. This result indicates that there is an initial overreaction to the new information, followed by subsequent market correction to the mean. Such result is consistent with the findings of the field of behavioural finance, which incorporates the idea that investor psychology is involved in investment decision making. Secondly, the impact of the news sentiment on the performance of individual sectors of the American economy, as measured by the returns on S&P 500 sector indices, is analysed. A statistically significant effect of sentiment on sector index return is found in the case of Consumer...
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Corporate Social Responsibility and Stock Market Performance: CSR Impact After the Financial Crisis and the Role of Primary CSR Activities
Pinteková, Aneta ; Kukačka, Jiří (advisor) ; Štěpánek, Martin (referee)
This thesis analyses the relationship between corporate social responsibility and com- panies' stock market performance in the post-financial crisis period. A new measure of social responsibility is used, called Thomson Reuters Environmental, Social, Governance, and Controversies Score. The results of the Fixed Effects regression show a significant, positive impact of the Score on the financial results of companies. Socially responsible activities are further divided into those closely related to the specific type of business of examined companies, called primary, and into those that are not dir- ectly related to the companies' business core, called secondary. Such distinction has not yet been made in the academic literature. Empirical results suggest that if companies aim at increasing their share prices also via the corporate social responsibility channel, they are encouraged to select their socially responsible initiatives strategically. The im- pact of the primary responsible activities on the corporate stock market performance is significantly positive, while the secondary responsible activities do not affect the financial results substantially. JEL Classification: A130, G110 Keywords: corporate social responsibility, CSR, business ethics, stock market perform- ance, fixed effects
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