Ali Moin

Working Papers

Global News Networks and Return Predictability

(with Gustavo Freire, Alberto Quaini, Amar Soebhag)

Abstract: We employ a novel, high-dimensional global news corpus (GDELT) to examine the effects of news-based sentiment on international equity market returns. Leveraging over 520 million articles from 14 developed countries, spanning 260 major themes and classified by source and target country, we construct granular sentiment linkages that capture how one country’s media reports on another. Using machine learning, we construct out-of-sample market-timing strategies based on local and global sentiment measures and document significant economic gains. Further, global sentiment measures contain distinct, incremental information compared to local measures, indicating market integration via sensitivity to shared news information and sentiment.

Presented at QFFE 2025 (Marseille), IAAE 2025 (Turin), and EFA 2025 (Paris).