The Wiley Finance Series : Handbook of News Analytics in Finance

The best sentiment reversal performance is obtained when net news sentiment meas- urements are over a period of around 1.5 years ...

considered.^2 Moreover, given the schedule of CRSP updates, the latest date of any data point in our universe (related to events ...

Internal DJNA studies have reached the same conclusion. Hafez (2009), for example, demonstrates the superiority of relevance sco ...

wherem32 andhN 1 ;:::;Nmiis a sequence of news stories aboutCoccurring over at least one month with a relevance score of 100. R ...

that the price of a stock tracked the S&P 500 index. Then, also assuming the number of shares outstanding remains constant, ...

onexcess S&P 500returns for individual stocks.^3 That is, if a sentiment reversal with event datedhas returnrover the holdin ...

are still many opportunities in other years, at least enough to run a fully invested 10-stock portfolio (to be studied in the ne ...

number of them and they are uniformly distributed throughout time, can yield radically different portfolios even though the same ...

we introduce the notion of anentry intervalas a certain time period after the event date such that, using any trading day within ...

Using daily returns that have been winsorized relative to the entire universeU 17 , Monte Carlo portfolios for the two strategie ...

quicker to react to news when the market is going down than when it is going up. There is something to be said about the behavio ...

9.7 References Aquinas T. (1265 or 1266–73)Summa Theologiae. deBondt W.; Thaler D. (1985) ‘‘Does the stock market overreact?’’Jo ...

PART III NEWS AND RISK ...

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Dan diBartolomeo ABSTRACT News is information that describes how the state of the world is somehow different than it usually is. ...

deviation in return in annual units. We talk about the volatility of stock being ‘‘40%’’ when we mean the expected standard devi ...

manifestation of price changes over time. Price changes arise due to an imbalance between the numbers of willing buyers and the ...

the relative market response to ‘‘news’’ and ‘‘announcements’’, such as Ederington and Lee (1996), Kwag, Shrieves, and Wansley ( ...

forecast of the covariance of that company’s stock with some other company or stock index would require waiting through a consid ...

10.4 A Bayesian framework for news inclusion The methods used in the two preceding papers were similar in one particularly impor ...