154 News and abnormal returns
Figure 6.2.Sample RNSE data. Quantitative scores on qualitative information.Relevancemeasures how much the item is about a given company(e.g., a sector story mentioning many firms would have lower relevance for any of them than a single-company story).Sentimentanalyzes text forpositive, neutral, and negative language, quantifies scores for each, and determines the prevailing sentiment of the article. The link counts are auniqueness/noveltyscore. They measure repetition among articles and the number of similar articles on a company. In addition, there iscomprehensivemetadata, including company identifier, topic codes, item type, stage of story, etc.Image supplied by Leinweber and Sisk.