The Wiley Finance Series : Handbook of News Analytics in Finance

‘‘earnings’’ have even stronger predictive ability in forecasting earnings surprises). The authors find that negative words in f ...

and articles in national, business-focused, newspapers. By focusing on news from these sources, we are more likely to capture ne ...

To simplify and provide a more meaningful analysis we classify news into these two broad categories, which each contain a furthe ...

8.2.5 Informational content of news Having tackled collecting and cleaning the news flow data, the biggest challenge is how to d ...

which that language is used. For example, the mention of a ‘‘dividend cut’’ may screen as a negative using dictionary-based algo ...

218 News and abnormal returns Figure 8.3.Categorizing news flow by year (source: RavenPack, Factiva, FactSet, Macquarie Quant Re ...

months. On average we find that just over half of all companies have some news reported each month, ranging from 30% at the begi ...

220 News and abnormal returns Figure 8.5.Short-term price reaction to good news flow (source: RavenPack, Factiva, FactSet, Macqu ...

significantly higher trading volumes for earnings news, guidance, and restructuring stories. Lastly, the business cycle also aff ...

222 News and abnormal returns Figure 8.7.Revisions clusters by year (source: RavenPack, Factiva, FactSet, Macquarie Quant Resear ...

revisions following announcements, while a further 19% of revisions are associated with financial issues (e.g., buybacks and div ...

related information receive the greatest share price reaction, whether the news is good or bad. The rank correlation based on ou ...

8.6.3 What is the informational content of the event? Once we see an event, how do we systematically decide whether it is signif ...

226 News and abnormal returns Table 8.2. Backtest summary statistics (daily, 2001–2009) Annualized Annualized Annualized Annuali ...

Our results show that investors can enhance the performance of existing earnings momentum strategies by combining this with a ne ...

to certain news items and that this has predictive power to forecast company earnings. By working with our fundamental analysts ...

Cooper R.; Day T.; Lewis C. (2001) ‘‘Following the leader: A study of individual analysts’ earnings forecasts,’’Journal of Finan ...

Ryan P.; Taffler R. (2002)What Firm-specific News Releases Drive Economically Significant Stock Returns and Trading Volumes?, Wo ...

John Kittrell ABSTRACT The company-specific metric ofnet news sentimentis defined and shown to predict long- term positive exces ...

pricing of information risk, hence the companies that are not covered in the news have superior performance. These studies, howe ...