2024
DOI: 10.3390/jrfm17070282
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A News Sentiment Index to Inform International Financial Reporting Standard 9 Impairments

Yolanda S. Stander

Abstract: Economic and financial narratives inform market sentiment through the emotions that are triggered and the subjectivity that gets evoked. There is an important connection between narrative, sentiment, and human decision making. In this study, natural language processing is used to extract market sentiment from the narratives using FinBERT, a Python library that has been pretrained on a large financial corpus. A news sentiment index is constructed and shown to be a leading indicator of systemic risk. A rolling r… Show more

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