The Wiley Finance Series : Handbook of News Analytics in Finance

LetNdenote the universe of all news records from the RavenPack dataset. Fix a companyCthat is mentioned within some news record ...

As can be observed in Figure 5.2, not only do both sentiment-based strategies outperform 1-month price momentum, but filtering b ...

years except 2006, which was the only year that resulted in a loss. Interestingly, price momentum outperformed the sentiment-bas ...

on constructing market-neutral strategies taking long and short positions in the top- and bottom-ranked industries, respectively ...

5.3.1 Data and news analytics In order to construct industry-level sentiment indexes based on news, I use five sentiment analyti ...

Definition 5.4.LetUbe the universe of companies andCbe a company such that C2U. Letpbe a time period denoting a certain number o ...

5.3.3 Strategy and empirical results As part of constructing a set of industry sentiment indexes, I map each company belonging t ...

of-sampleresults indicate that a positive spread can be realized taking long and short positions in the top- and bottom-ranked i ...

improved results. Hence, instead of investing in the entire S&P 500 let us consider taking long positions in the top-ranked ...

outperforms the market-level strategy in terms of annualized returns in four out of five years with 2008 being the only exceptio ...

5.4 Conclusion Considering the relevance and impact of different company events is an important element when constructing market ...

5.A.2 ESS: Event Sentiment Score A granular score between 0 and 100 that represents the news sentiment for a given company by me ...

indicating negative, neutral, or positive sentiment, respectively. This sentiment score is based on RavenPack’s Expert Consensus ...

Mitra L.; Mitra G.; diBartolomeo D. (2008)Equity Portfolio Risk (Volatility) Estimation Using Market Information and Sentiment, ...

PART II NEWS AND ABNORMAL RETURNS ...

...

David Leinweber and Jacob Sisk ABSTRACT News analytics measure the relevance, sentiment, novelty, and volume of news. They combi ...

that activity. News gathering is increasingly supported by automation that monitors a large and growing subset of the web and in ...

6.2.2 Risk management and news News-based analytics are useful in risk management. The difference in return distribu- tions asso ...

information leakage. In this example, we see what appears to be close to 90% of the return occurring prior (to the left) of the ...