The Wiley Finance Series : Handbook of News Analytics in Finance

.Intensity One or two unique news items per day minimum.

.Relevance How much the article is about a particular firm (60%).

.Sentiment In top 5% or 10% of daily distribution.

.Novelty How often has a story with similar text to this one appeared? To do this we

require Linked count 5¼0.

.News accumulation and trading times A ‘‘day’’ for measuring news events is defined

as a 24-hour period from 3:30 pm the previous trading day to 3:30 pm on the current

day. Positions for calculating the returns in the event studies are assumed taken at the

closing price on the current day, and subsequent returns are also based on closing

prices.

156 News and abnormal returns

Figure 6.5.Breadth of coverage of S&P 1500 index constituent firms, measured by number of firms

with news each month.

Figure 6.6.Depth of coverage of S&P 1500 firms, measured by number of news items per firm.